Natural language understanding in the context of goal oriented dialog systems typically includes intent classification and slot labeling tasks. An effective method to expand an NLU system to new languages is using machine translation (MT) with annotation projection to the target language. Previous work focused on using word alignment tools or complex heuristics for slot annotation projection. In this work, we propose a novel end-to-end model that learns to align and predict slots. Existing multilingual NLU data sets only support up to three languages which limits the study on cross-lingual transfer. To this end, we construct a multilingual NLU corpus, MultiATIS++, by extending the Multilingual ATIS corpus to nine languages across various language families. We use the corpus to explore various cross-lingual transfer methods focusing on the zero-shot setting and leveraging MT for language expansion. Results show that our soft-alignment method significantly improves slot F1 over strong baselines on most languages. In addition, our experiments show the strength of using multilingual BERT for both cross-lingual training and zero-shot transfer.