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Inference is crucial in modern astronomical research, where hidden astrophysical features and patterns are often estimated from indirect and noisy measurements. Inferring the posterior of hidden features, conditioned on the observed measurements, is essential for understanding the uncertainty of results and downstream scientific interpretations. Traditional approaches for posterior estimation include sampling-based methods and variational inference. However, sampling-based methods are typically slow for high-dimensional inverse problems, while variational inference often lacks estimation accuracy. In this paper, we propose alpha-DPI, a deep learning framework that first learns an approximate posterior using alpha-divergence variational inference paired with a generative neural network, and then produces more accurate posterior samples through importance re-weighting of the network samples. It inherits strengths from both sampling and variational inference methods: it is fast, accurate, and scalable to high-dimensional problems. We apply our approach to two high-impact astronomical inference problems using real data: exoplanet astrometry and black hole feature extraction.