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Video processing and analysis have become an urgent task since a huge amount of videos (e.g., Youtube, Hulu) are uploaded online every day. The extraction of representative key frames from videos is very important in video processing and analysis since it greatly reduces computing resources and time. Although great progress has been made recently, large-scale video classification remains an open problem, as the existing methods have not well balanced the performance and efficiency simultaneously. To tackle this problem, this work presents an unsupervised method to retrieve the key frames, which combines Convolutional Neural Network (CNN) and Temporal Segment Density Peaks Clustering (TSDPC). The proposed TSDPC is a generic and powerful framework and it has two advantages compared with previous works, one is that it can calculate the number of key frames automatically. The other is that it can preserve the temporal information of the video. Thus it improves the efficiency of video classification. Furthermore, a Long Short-Term Memory network (LSTM) is added on the top of the CNN to further elevate the performance of classification. Moreover, a weight fusion strategy of different input networks is presented to boost the performance. By optimizing both video classification and key frame extraction simultaneously, we achieve better classification performance and higher efficiency. We evaluate our method on two popular datasets (i.e., HMDB51 and UCF101) and the experimental results consistently demonstrate that our strategy achieves competitive performance and efficiency compared with the state-of-the-art approaches.