This paper presents a new supervised classification algorithm for remotely sensed hyperspectral image (HSI) which integrates spectral and spatial information in a unified Bayesian framework. First, we formulate the HSI classification problem from a Bayesian perspective. Then, we adopt a convolutional neural network (CNN) to learn the posterior class distributions using a patch-wise training strategy to better use the spatial information. Next, spatial information is further considered by placing a spatial smoothness prior on the labels. Finally, we iteratively update the CNN parameters using stochastic gradient decent and update the class labels of all pixel vectors using α-expansion mincut-based algorithm. Compared with the other state-of-the-art methods, the classification method achieves better performance on one synthetic data set and two benchmark HSI data sets in a number of experimental settings.