Obtaining semantic labels on a large scale radiology image database (215,786 key images from 61,845 unique patients) is a prerequisite yet bottleneck to train highly effective deep convolutional neural network (CNN) models for image recognition. Nevertheless, conventional methods for collecting image labels (e.g., Google search followed by crowd-sourcing) are not applicable due to the formidable difficulties of medical annotation tasks for those who are not clinically trained. This type of image labeling task remains non-trivial even for radiologists due to uncertainty and possible drastic inter-observer variation or inconsistency. In this paper, we present a looped deep pseudo-task optimization procedure for automatic category discovery of visually coherent and clinically semantic (concept) clusters. Our system can be initialized by domain-specific (CNN trained on radiology images and text report derived labels) or generic (ImageNet based) CNN models. Afterwards, a sequence of pseudo-tasks are exploited by the looped deep image feature clustering (to refine image labels) and deep CNN training/classification using new labels (to obtain more task representative deep features). Our method is conceptually simple and based on the hypothesized "convergence" of better labels leading to better trained CNN models which in turn feed more effective deep image features to facilitate more meaningful clustering/labels. We have empirically validated the convergence and demonstrated promising quantitative and qualitative results. Category labels of significantly higher quality than those in previous work are discovered. This allows for further investigation of the hierarchical semantic nature of the given large-scale radiology image database.