Different from popular neural networks using quasiconvex activations, non-monotonic networks activated by periodic nonlinearities have emerged as a more competitive paradigm, offering revolutionary benefits: 1) compactly characterizing high-frequency patterns; 2) precisely representing high-order derivatives. Nevertheless, they are also well-known for being hard to train, due to easily over-fitting dissonant noise and only allowing for tiny architectures (shallower than 5 layers). The fundamental bottleneck is that the periodicity leads to many poor and dense local minima in solution space. The direction and norm of gradient oscillate continually during error backpropagation. Thus non-monotonic networks are prematurely stuck in these local minima, and leave out effective error feedback. To alleviate the optimization dilemma, in this paper, we propose a non-trivial soft transfer approach. It smooths their solution space close to that of monotonic ones in the beginning, and then improve their representational properties by transferring the solutions from the neural space of monotonic neurons to the Fourier space of non-monotonic neurons as the training continues. The soft transfer consists of two core components: 1) a rectified concrete gate is constructed to characterize the state of each neuron; 2) a variational Bayesian learning framework is proposed to dynamically balance the empirical risk and the intensity of transfer. We provide comprehensive empirical evidence showing that the soft transfer not only reduces the risk of non-monotonic networks on over-fitting noise, but also helps them scale to much deeper architectures (more than 100 layers) achieving the new state-of-the-art performance.