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The existing action recognition methods are mainly based on clip-level classifiers such as two-stream CNNs or 3D CNNs, which are trained from the randomly selected clips and applied to densely sampled clips during testing. However, this standard setting might be suboptimal for training classifiers and also requires huge computational overhead when deployed in practice. To address these issues, we propose a new framework for action recognition in videos, called {\em Dynamic Sampling Networks} (DSN), by designing a dynamic sampling module to improve the discriminative power of learned clip-level classifiers and as well increase the inference efficiency during testing. Specifically, DSN is composed of a sampling module and a classification module, whose objective is to learn a sampling policy to on-the-fly select which clips to keep and train a clip-level classifier to perform action recognition based on these selected clips, respectively. In particular, given an input video, we train an observation network in an associative reinforcement learning setting to maximize the rewards of the selected clips with a correct prediction. We perform extensive experiments to study different aspects of the DSN framework on four action recognition datasets: UCF101, HMDB51, THUMOS14, and ActivityNet v1.3. The experimental results demonstrate that DSN is able to greatly improve the inference efficiency by only using less than half of the clips, which can still obtain a slightly better or comparable recognition accuracy to the state-of-the-art approaches.