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Assessing set-membership and evaluating distances to the related set boundary are problems of widespread interest, and can often be computationally challenging. Seeking efficient learning models for such tasks, this paper deals with voltage stability margin prediction for power systems. Supervised training of such models is conventionally hard due to high-dimensional feature space, and a cumbersome label-generation process. Nevertheless, one may find related easy auxiliary tasks, such as voltage stability verification, that can aid in training for the hard task. This paper develops a novel approach for such settings by leveraging transfer learning. A Gaussian process-based learning model is efficiently trained using learning- and physics-based auxiliary tasks. Numerical tests demonstrate markedly improved performance that is harnessed alongside the benefit of uncertainty quantification to suit the needs of the considered application.