Deep learning is a promising strategy for modeling cis-regulatory elements. However, models trained on genomic sequences often fail to explain why the same transcription factor can activate or repress transcription in different contexts. To address this limitation, we developed an active learning approach to train models that distinguish between enhancers and silencers composed of binding sites for the photoreceptor transcription factor cone-rod homeobox (CRX). After training the model on nearly all bound CRX sites from the genome, we coupled synthetic biology with uncertainty sampling to generate additional rounds of informative training data. This allowed us to iteratively train models on data from multiple rounds of massively parallel reporter assays. The ability of the resulting models to discriminate between CRX sites with identical sequence but opposite functions establishes active learning as an effective strategy to train models of regulatory DNA. A record of this paper's transparent peer review process is included in the supplemental information.