Neural random fields (NRFs), which are defined by using neural networks to implement potential functions in undirected models, provide an interesting family of model spaces for machine learning. In this paper we develop a new approach to learning NRFs with inclusive-divergence minimized auxiliary generator - the inclusive-NRF approach. The new approach enables us to flexibly use NRFs in unsupervised, supervised and semi-supervised settings and successfully train them in a black-box manner. Empirically, inclusive-NRFs achieve state-of-the-art sample generation quality on CIFAR-10 in both unsupervised and supervised settings. Semi-supervised inclusive-NRFs show strong classification results on par with state-of-the-art generative model based semi-supervised learning methods, and simultaneously achieve superior generation, on the widely benchmarked datasets - MNIST, SVHN and CIFAR-10.