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The highly penetrated distributed generators (DGs) aggravate the voltage violations in active distribution networks (ADNs). The coordination of various regulation devices such as on-load tap changers (OLTCs) and DG inverters can effectively address the voltage issues. Considering the problems of inaccurate network parameters and rapid DG fluctuation in practical operation, multi-source data can be utilized to establish the data-driven control model. In this paper, a data-driven coordinated voltage control method with the coordination of OLTC and DG inverters on multiple time-scales is proposed without relying on the accurate physical model. First, based on the multi-source data, a data-driven voltage control model is established. Multiple regulation devices such as OLTC and DG are coordinated on multiple time-scales to maintain voltages within the desired range. Then, a critical measurement selection method is proposed to guarantee the voltage control performance under the partial measurements in practical ADNs. Finally, the proposed method is validated on the modified IEEE 33-node and IEEE 123-node test cases. Case studies illustrate the effectiveness of the proposed method, as well as the adaptability to DG uncertainties.