The challenges in hyperspectral image (HSI) classification lie in the existence of noisy spectral information and lack of contextual information among pixels. Considering the three different levels in HSIs, i.e., subpixel, pixel, and superpixel, offer complementary information, we develop a novel HSI feature learning network (HSINet) to learn consistent features by selfsupervision for HSI classification. HSINet contains a three-layer deep neural network and a multifeature convolutional neural network. It automatically extracts the features such as spatial, spectral, color, and boundary as well as context information. To boost the performance of self-supervised feature learning with the likelihood maximization, the conditional random field (CRF) framework is embedded into HSINet. The potential terms of unary, pairwise, and higher order in CRF are constructed by the corresponding subpixel, pixel, and superpixel. Furthermore, the feedback information derived from these terms are also fused into the different-level feature learning process, which makes the HSINet-CRF be a trainable end-to-end deep learning model with the back-propagation algorithm. Comprehensive evaluations are performed on three widely used HSI data sets and our method outperforms the state-of-the-art methods.