Although deep learning has shown its powerful performance in many applications, the mathematical principles behind neural networks are still mysterious. In this paper, we consider the problem of learning a one-hidden-layer neural network with quadratic activations. We focus on the under-parameterized regime where the number of hidden units is smaller than the dimension of the inputs. We shall propose to solve the problem via a provable gradient-based method with random initialization. For the non-convex neural networks training problem we reveal that the gradient descent iterates are able to enter a local region that enjoys strong convexity and smoothness within a few iterations, and then provably converges to a globally optimal model at a linear rate with near-optimal sample complexity. We further corroborate our theoretical findings via various experiments.