This paper develops an active sensing framework for designing the transmit and receive beamformers of a multiple-input multiple-output (MIMO) radar system. In the proposed technique, the beamformers are adaptively designed in each sensing stage based on the measurements made in the previous sensing stages. The beamformers are determined by minimizing the Bayesian Cram{é}r-Rao bound (BCRB) for the estimation of the unknown sensing parameters at each stage via Lagrangian dual optimization. To address the exploration-exploitation tradeoff that is inherent to such an adaptive design, this paper proposes two variants of the BCRB optimization problem: an exploration-centric variant, that ensures that multiple orthogonal beamforming directions are probed in each sensing stage, and an exploitation-centric variant, that does not restrict the number of optimal beamformers. Each variant of the optimization problem is solved via an alternating optimization algorithm that alternates between solving for the transmit beamformers and solving for the receive beamformers. The algorithm is shown to converge to a stationary point provided that each optimization problem is solved to global optimality. Moreover, this paper studies each of the two BCRB optimization sub-problems in the Lagrangian dual domain and shows that despite the non-convexity, global optimality is guaranteed provided that certain sufficient conditions hold. The conditions pertain to the multiplicity of the eigenvalues of a specific direction matrix that can be analytically written in terms of the optimal dual variables. These conditions further imply the tightness of the semidefinite relaxation of the optimization problems. Simulation results demonstrate the benefits of the proposed BCRB-based design compared to state-of-the-art adaptive beamforming strategies.