Chest computed tomography (CT) becomes an effective tool to assist the diagnosis of coronavirus disease-19 (COVID-19). Due to the outbreak of COVID-19 worldwide, using the computed-aided diagnosis technique for COVID-19 classification based on CT images could largely alleviate the burden of clinicians. In this paper, we propose an Adaptive Feature Selection guided Deep Forest (AFS-DF) for COVID-19 classification based on chest CT images. Specifically, we first extract location-specific features from CT images. Then, in order to capture the high-level representation of these features with the relatively small-scale data, we leverage a deep forest model to learn high-level representation of the features. Moreover, we propose a feature selection method based on the trained deep forest model to reduce the redundancy of features, where the feature selection could be adaptively incorporated with the COVID-19 classification model. We evaluated our proposed AFS-DF on COVID-19 dataset with 1495 patients of COVID-19 and 1027 patients of community acquired pneumonia (CAP). The accuracy (ACC), sensitivity (SEN), specificity (SPE) and AUC achieved by our method are 91.79%, 93.05%, 89.95% and 96.35%, respectively. Experimental results on the COVID-19 dataset suggest that the proposed AFS-DF achieves superior performance in COVID-19 vs. CAP classification, compared with 4 widely used machine learning methods.