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Considerable progress has been made in domain generalization (DG) which aims to learn a generalizable model from multiple well-annotated source domains to unknown target domains. However, it can be prohibitively expensive to obtain sufficient annotation for source datasets in many real scenarios. To escape from the dilemma between domain generalization and annotation costs, in this paper, we introduce a novel task named label-efficient domain generalization (LEDG) to enable model generalization with label-limited source domains. To address this challenging task, we propose a novel framework called Collaborative Exploration and Generalization (CEG) which jointly optimizes active exploration and semi-supervised generalization. Specifically, in active exploration, to explore class and domain discriminability while avoiding information divergence and redundancy, we query the labels of the samples with the highest overall ranking of class uncertainty, domain representativeness, and information diversity. In semi-supervised generalization, we design MixUp-based intra- and inter-domain knowledge augmentation to expand domain knowledge and generalize domain invariance. We unify active exploration and semi-supervised generalization in a collaborative way and promote mutual enhancement between them, boosting model generalization with limited annotation. Extensive experiments show that CEG yields superior generalization performance. In particular, CEG can even use only 5% data annotation budget to achieve competitive results compared to the previous DG methods with fully labeled data on PACS dataset.