Convolutional neural networks have achieved prominent success on a variety of medical imaging tasks when a large amount of labeled training data is available. However, the acquisition of expert annotations for medical data is usually expensive and time-consuming, which poses a great challenge for supervised learning approaches. In this work, we proposed a novel semi-supervised deep learning method, i.e., deep virtual adversarial self-training with consistency regularization, for large-scale medical image classification. To effectively exploit useful information from unlabeled data, we leverage self-training and consistency regularization to harness the underlying knowledge, which helps improve the discrimination capability of training models. More concretely, the model first uses its prediction for pseudo-labeling on the weakly-augmented input image. A pseudo-label is kept only if the corresponding class probability is of high confidence. Then the model prediction is encouraged to be consistent with the strongly-augmented version of the same input image. To improve the robustness of the network against virtual adversarial perturbed input, we incorporate virtual adversarial training (VAT) on both labeled and unlabeled data into the course of training. Hence, the network is trained by minimizing a combination of three types of losses, including a standard supervised loss on labeled data, a consistency regularization loss on unlabeled data, and a VAT loss on both labeled and labeled data. We extensively evaluate the proposed semi-supervised deep learning methods on two challenging medical image classification tasks: breast cancer screening from ultrasound images and multi-class ophthalmic disease classification from optical coherence tomography B-scan images. Experimental results demonstrate that the proposed method outperforms both supervised baseline and other state-of-the-art methods by a large margin on all tasks.