This paper considers distributed state estimation of continuous-time linear system monitored by a network of multiple sen-sors. Each sensor can only access locally partial measurement output of the system and effectively communicates with its neighbors to cooperatively achieve the asymptotic estimation of the target full system state. For a constructive design, we shall incorporate the concept of system immersions and propose a class of distributed tracking observers for the problem under a reasonable condition of the locally joint observability. Moreover, as a direct application of the proposed observer design, we further present an interesting leader-following consensus design for multi-agent system.