To deal with datasets of different complexity, this paper presents an efficient learning model that combines the proposed Dynamic Connected Neural Decision Networks (DNDN) and a new pruning method--Dynamic Soft Pruning (DSP). DNDN is a combination of random forests and deep neural networks thereby it enjoys both the properties of powerful classification capability and representation learning functionality. Different from Deep Neural Decision Forests (DNDF), this paper adopts an end-to-end training approach by representing the classification distribution with multiple randomly initialized softmax layers, which enables the placement of the forest trees after each layer in the neural network and greatly improves the training speed and stability. Furthermore, DSP is proposed to reduce the redundant connections of the network in a soft fashion which has high flexibility but demonstrates no performance loss compared with previous approaches. Extensive experiments on different datasets demonstrate the superiority of the proposed model over other popular algorithms in solving classification tasks.