Recently, along with the rapid development of mobile communication technology, edge computing theory and techniques have been attracting more and more attentions from global researchers and engineers, which can significantly bridge the capacity of cloud and requirement of devices by the network edges, and thus can accelerate the content deliveries and improve the quality of mobile services. In order to bring more intelligence to the edge systems, compared to traditional optimization methodology, and driven by the current deep learning techniques, we propose to integrate the Deep Reinforcement Learning techniques and Federated Learning framework with the mobile edge systems, for optimizing the mobile edge computing, caching and communication. And thus, we design the In-Edge AI framework in order to intelligently utilize the collaboration among devices and edge nodes to exchange the learning parameters for a better training and inference of the models, and thus to carry out dynamic system-level optimization and application-level enhancement while reducing the unnecessary system communication load. In-Edge AI is evaluated and proved to have near-optimal performance but relatively low overhead of learning, while the system is cognitive and adaptive to the mobile communication systems. Finally, we discuss several related challenges and opportunities for unveiling a promising upcoming future of In-Edge AI.