True intelligence requires active capability acquisition, yet current LLM agents inject pre-defined tool schemas into prompts, reducing models to passive selectors and falling short of robust general-purpose agency. We introduce MCP-Zero, an active agent framework that restores tool discovery autonomy to LLMs themselves. Instead of overwhelming models with all available tools, MCP-Zero enables agents to actively identify capability gaps, and request specific tools on-demand, transforming them from large-scale retrievers into genuine autonomous agents. The framework operates through three core mechanisms: (1) Active Tool Request, where models autonomously generate structured requests specifying their exact tool requirements; (2) Hierarchical Semantic Routing, a two-stage algorithm that matches requests to relevant servers and tools through improved semantic alignment; (3) Iterative Capability Extension, enabling agents to progressively build cross-domain toolchains while maintaining minimal context footprint. We construct MCP-tools, a comprehensive dataset of 308 MCP servers and 2,797 tools from the official Model-Context-Protocol repository. Experiments demonstrate that MCP-Zero preserves agent autonomy while achieving substantial efficiency gains: (i) accurate tool selection from nearly 3k candidates across 248.1k tokens; (ii) 98\% reduction in token consumption on APIBank while maintaining high accuracy; and (iii) consistent multi-turn performance that scales with tool ecosystem growth. This work establishes active tool discovery as a fundamental design pattern for scalable autonomous agent systems.