We introduce a new Large Margin Gaussian Process (LMGP) model by formulating a pseudo-likelihood for a generalised multi-class hinge loss. We derive a highly scalable training objective for the proposed model using variational-inference and inducing point approximation. Additionally, we consider the joint learning of LMGP-DNN which combines the proposed model with traditional Deep Learning methods to enable learning for unstructured data. We demonstrate the effectiveness of the Large Margin GP with respect to both training time and accuracy in an extensive classification experiment consisting of 68 structured and two unstructured data sets. Finally, we highlight the key capability and usefulness of our model in yielding prediction uncertainty for classification by demonstrating its effectiveness in the tasks of large-scale active learning and detection of adversarial images.