The realization of efficient classification with limited labeled samples is a critical task in hyperspectral image classification (HSIC). Convolutional neural networks (CNNs) have achieved remarkable advances while considering spectral–spatial features simultaneously, while conventional patch-wise-based CNNs usually lead to redundant computations. Therefore, in this paper, we established a novel active inference transfer convolutional fusion network (AI-TFNet) for HSI classification. First, in order to reveal and merge the local low-level and global high-level spectral–spatial contextual features at different stages of extraction, an end-to-end fully hybrid multi-stage transfer fusion network (TFNet) was designed to improve classification performance and efficiency. Meanwhile, an active inference (AI) pseudo-label propagation algorithm for spatially homogeneous samples was constructed using the homogeneous pre-segmentation of the proposed TFNet. In addition, a confidence-augmented pseudo-label loss (CapLoss) was proposed in order to define the confidence of a pseudo-label with an adaptive threshold in homogeneous regions for acquiring pseudo-label samples; this can adaptively infer a pseudo-label by actively augmenting the homogeneous training samples based on their spatial homogeneity and spectral continuity. Experiments on three real HSI datasets proved that the proposed method had competitive performance and efficiency compared to several related state-of-the-art methods.