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In the recent years, the availability of accurate vehicle position becomes more urgent. The global navigation satellite systems/inertial navigation system (GNSS/INS) is the most used integrated navigation scheme for land vehicles, which utilizes the Kalman filter (KF) to optimally fuse GNSS measurement and INS prediction for accurate and robust localization. However, the uncertainty of the process noise covariance and the measurement noise covariance has a significant impact on Kalman filtering performance. Traditional KF-based integrated navigation methods configure the process noise covariance and measurement noise covariance with predefined constants, which cannot adaptively characterize the various and dynamic environments, and obtain accurate and continuous positioning results under complex environments. To obtain accurate and robust localization results under various complex and dynamic environments, in this article, we propose a novel noise covariance estimation algorithm for the GNSS/INS-integrated navigation using multitask learning model, which can simultaneously estimate the process noise covariance and measurement noise covariance for the KF. The predicted multiplication factors are used to dynamically scale process noise covariance matrix and measurement noise covariance matrix respectively according to the inputs of raw inertial measurement. Extensive experiments are conducted on our collected practical road data set under three typical complex urban scenarios, such as, avenues, viaducts, and tunnels. Experimental results demonstrate that compared with the traditional KF-based integrated navigation algorithm with predefined fixed settings, our proposed method reduces 77.13% positioning error.