Data-driven approaches have been applied to many problems in urban computing. However, in the research community, such approaches are commonly studied under data from limited sources, and are thus unable to characterize the complexity of urban data coming from multiple entities and the correlations among them. Consequently, an inclusive and multifaceted dataset is necessary to facilitate more extensive studies on urban computing. In this paper, we present CityNet, a multi-modal urban dataset containing data from 7 cities, each of which coming from 3 data sources. We first present the generation process of CityNet as well as its basic properties. In addition, to facilitate the use of CityNet, we carry out extensive machine learning experiments, including spatio-temporal predictions, transfer learning, and reinforcement learning. The experimental results not only provide benchmarks for a wide range of tasks and methods, but also uncover internal correlations among cities and tasks within CityNet that, with adequate leverage, can improve performances on various tasks. With the benchmarking results and the correlations uncovered, we believe that CityNet can contribute to the field of urban computing by supporting research on many advanced topics.