Effective features derived from an original hyperspectral image (HSI) are quite important to improve the classification performance. An improved feature set, namely HGFM, is constructed by integrating harmonic analysis (HA) optimized by a multiscale guided filter (GF) with morphological operation for HSI classification. To establish HGFM, HA is first adopted to convert the HSI from spectral space to the frequency domain represented by amplitude, phase, and residual. With the first component of minimum noise fraction obtained from the original HSI as the guidance image, the harmonic components are then processed by the multiscale GF. Finally, the obtained results are then operated via morphological opening by reconstruction and closing by reconstruction to generate an improved feature set for classification. The HGFM features are input to an ensemble learning (EL) based on classification framework, in which EL plays an auxiliary role to enhance the classification stability and reliability. Three commonly used HSIs are used for experiments, and different feature sets are evaluated by comparing EL and rotation forest, support vector machine optimized by particle swarm optimization, random forest, and others. Compared with benchmark feature sets, the proposed HGFM feature set can better depict the details of objects easily, and the experimental results confirm the effectiveness in terms of classification accuracy and generalization ability.