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Unsupervised person re-identification (ReID) aims at learning discriminative identity features for person retrieval without any annotations. Recent advances accomplish this task by leveraging clustering-based pseudo labels, but these pseudo labels are inevitably noisy which deteriorate model performance. In this paper, we propose a Neighbour Consistency guided Pseudo Label Refinement (NCPLR) framework, which can be regarded as a transductive form of label propagation under the assumption that the prediction of each example should be similar to its nearest neighbours'. Specifically, the refined label for each training instance can be obtained by the original clustering result and a weighted ensemble of its neighbours' predictions, with weights determined according to their similarities in the feature space. In addition, we consider the clustering-based unsupervised person ReID as a label-noise learning problem. Then, we proposed an explicit neighbour consistency regularization to reduce model susceptibility to over-fitting while improving the training stability. The NCPLR method is simple yet effective, and can be seamlessly integrated into existing clustering-based unsupervised algorithms. Extensive experimental results on five ReID datasets demonstrate the effectiveness of the proposed method, and showing superior performance to state-of-the-art methods by a large margin.