Multi-modal hashing is an effective technique to support large-scale multimedia retrieval, due to its capability of encoding heterogeneous multi-modal features into compact and similarity-preserving binary codes. Although great progress has been achieved so far, existing methods still suffer from several problems, including: 1) All existing methods simply adopt fixed modality combination weights in online hashing process to generate the query hash codes. This strategy cannot adaptively capture the variations of different queries. 2) They either suffer from insufficient semantics (for unsupervised methods) or require high computation and storage cost (for the supervised methods, which rely on pair-wise semantic matrix). 3) They solve the hash codes with relaxed optimization strategy or bit-by-bit discrete optimization, which results in significant quantization loss or consumes considerable computation time. To address the above limitations, in this paper, we propose an Online Multi-modal Hashing with Dynamic Query-adaption (OMH-DQ) method in a novel fashion. Specifically, a self-weighted fusion strategy is designed to adaptively preserve the multi-modal feature information into hash codes by exploiting their complementarity. The hash codes are learned with the supervision of pair-wise semantic labels to enhance their discriminative capability, while avoiding the challenging symmetric similarity matrix factorization. Under such learning framework, the binary hash codes can be directly obtained with efficient operations and without quantization errors. Accordingly, our method can benefit from the semantic labels, and simultaneously, avoid the high computation complexity. Moreover, to accurately capture the query variations, at the online retrieval stage, we design a parameter-free online hashing module which can adaptively learn the query hash codes according to the dynamic query contents. Extensive experiments demonstrate the state-of-the-art performance of the proposed approach from various aspects.