Spatio-temporal graph (STG) learning is foundational for smart city applications, yet it is often hindered by data scarcity in many cities and regions. To bridge this gap, we propose a novel generative pre-training framework, GPDiff, for STG transfer learning. Unlike conventional approaches that heavily rely on common feature extraction or intricate transfer learning designs, our solution takes a novel approach by performing generative pre-training on a collection of model parameters optimized with data from source cities. We recast STG transfer learning as pre-training a generative hypernetwork, which generates tailored model parameters guided by prompts, allowing for adaptability to diverse data distributions and city-specific characteristics. GPDiff employs a diffusion model with a transformer-based denoising network, which is model-agnostic to integrate with powerful STG models. By addressing challenges arising from data gaps and the complexity of generalizing knowledge across cities, our framework consistently outperforms state-of-the-art baselines on multiple real-world datasets for tasks such as traffic speed prediction and crowd flow prediction. The implementation of our approach is available: https://anonymous.4open.science/r/GPDiff.