Continuously improving the accuracy is a hot topic in hyperspectral image (HSI) classification with small-scale samples, due to the high label noise of traditional labeling systems and the high cost of expert labeling systems. We focus on constructing a smaller and more informative training sample set, so an iterative sample selection method guided by uncertainty measurement (ISS-Un) is proposed. The method learns shallow and deep features in the spectral and spatial domains via a convolutional neural network (CNN), where an uncertainty measurement algorithm such as least confidence (LC), marginal sampling (MS) or entropy (Ent) is used to iteratively select high-quality samples for the training set. In addition, we propose a more efficient uncertainty measurement algorithm named margin-entropy fusion (MEF) algorithm to integrate multiple-criteria information. The proposed method is compared with the conventional random sampling method. Experimental results on three HSI datasets show that the proposed ISS-Un method can significantly alleviate the redundancy of training samples and form a more compact and efficient training set, thus improving the classification performance of pixel-oriented HSI. Meanwhile, training sets constructed based on different uncertainty measurement algorithms are applied to five popular CNN models to verify the quality and generalizability of the selected samples. The results show that these training sets work better than random training sampling. Moreover, the proposed MEF algorithm outperforms the LC, MS, and Ent algorithms in selecting samples and is the main recommended scheme.