Video Recognition has drawn great research interest and great progress has been made. A suitable frame sampling strategy can improve the accuracy and efficiency of recognition. However, mainstream solutions generally adopt handcrafted frame sampling strategies for recognition. It could degrade the performance, especially in untrimmed videos, due to the variation of frame-level saliency. To this end, we concentrate on improving untrimmed video classification via developing a learning-based frame sampling strategy. We intuitively formulate the frame sampling procedure as multiple parallel Markov decision processes, each of which aims at picking out a frame/clip by gradually adjusting an initial sampling. Then we propose to solve the problems with multi-agent reinforcement learning (MARL). Our MARL framework is composed of a novel RNN-based context-aware observation network which jointly models context information among nearby agents and historical states of a specific agent, a policy network which generates the probability distribution over a predefined action space at each step and a classification network for reward calculation as well as final recognition. Extensive experimental results show that our MARL-based scheme remarkably outperforms hand-crafted strategies with various 2D and 3D baseline methods. Our single RGB model achieves a comparable performance of ActivityNet v1.3 champion submission with multi-modal multi-model fusion and new state-ofthe-art results on YouTube Birds and YouTube Cars.