We study the dynamics of an inertial active Ornstein–Uhnlenbeck particle self-propelling in a confined harmonic well. The transport behavior of the particle is investigated by analyzing the particle trajectories, steady state correlations and mean square displacement (MSD). The steady state correlation functions for the position as well as velocity are exactly calculated using different methods. We explore how the inertia affects the dynamical behavior, when the particle is confined in a harmonic trap as well as when it is set free. From the exact calculation of MSD, it is observed that the initial time regimes are ballistic for both harmonically confined particle and free particle, whereas the long time regimes are diffusive for a free particle and nondiffusive for a harmonically confined particle. One of our interesting observations is that the harmonically confined particle gets more and more confined with increase in the self-propulsion time or activity time of the dynamics and finally it gets trapped for very large value of the self-propulsion time. For a free particle, the velocity correlation decays by the complex interplay between the inertial time scale and the self-propulsion time scale of the dynamics. Moreover, decorrelation in velocity happens only when these two time scales are of equal order.