Conventional active learning approaches for interactive video/image retrieval usually assume the query distribution is unknown, as it is difficult to estimate with only a limited number of labeled instances available. Thus, it is easy to put the system in a dilemma whether to explore the feature space in uncertain areas for a better understanding of the query distribution or to harvest in certain areas for more relevant instances. In this paper, we propose a novel approach called coached active learning that makes the query distribution predictable through training and, therefore, avoids the risk of searching on a completely unknown space. The estimated distribution, which provides a more global view of the feature space, can be used to schedule not only the timing but also the step sizes of the exploration and the exploitation in a principled way. The results of the experiments on a large-scale data set from TRECVID 2005-2009 validate the efficiency and effectiveness of our approach, which demonstrates an encouraging performance when facing domain-shift, outperforms eight conventional active learning methods, and shows superiority to six state-of-the-art interactive video retrieval systems.