Open-source large language models (LLMs) have gained significant strength across diverse fields. Nevertheless, the majority of studies primarily concentrate on English, with only limited exploration into the realm of multilingual abilities. In this work, we therefore construct an open-source multilingual supervised fine-tuning dataset. Different from previous works that simply translate English instructions, we consider both the language-specific and language-agnostic abilities of LLMs. Firstly, we introduce a knowledge-grounded data augmentation approach to elicit more language-specific knowledge of LLMs, improving their ability to serve users from different countries. Moreover, we find modern LLMs possess strong cross-lingual transfer capabilities, thus repeatedly learning identical content in various languages is not necessary. Consequently, we can substantially prune the language-agnostic supervised fine-tuning (SFT) data without any performance degradation, making multilingual SFT more efficient. The resulting UltraLink dataset comprises approximately 1 million samples across five languages (i.e., En, Zh, Ru, Fr, Es), and the proposed data construction method can be easily extended to other languages. UltraLink-LM, which is trained on the UltraLink dataset, outperforms several representative baselines across many tasks.