Pixel-wise Code Exposure (PCE) camera is one type of compressive sensing camera that has low power consumption and high compression ratio. Moreover, a PCE camera can control individual pixel exposure time that can enable high dynamic range. Conventional approaches of using PCE camera involve a time consuming and lossy process to reconstruct the original frames and then use those frames for target tracking and classification. In this paper, we present a deep learning approach that directly performs target tracking and classification in the compressive measurement domain without any frame reconstruction. Our approach has two parts: tracking and classification. The tracking has been done using YOLO (You Only Look Once) and the classification is achieved using Residual Network (ResNet). Extensive experiments using mid-wave infrared (MWIR) and long-wave infrared (LWIR) videos demonstrated the efficacy of our proposed approach.