With the ubiquitous graph-structured data in various applications, models that can learn compact but expressive vector representations of nodes have become highly desirable. Recently, bearing the message passing paradigm, graph neural networks (GNNs) have greatly advanced the performance of node representation learning on graphs. However, a majority class of GNNs are only designed for homogeneous graphs, leading to inferior adaptivity to the more informative heterogeneous graphs with various types of nodes and edges. Also, despite the necessity of inductively producing representations for completely new nodes (e.g., in streaming scenarios), few heterogeneous GNNs can bypass the transductive learning scheme where all nodes must be known during training. Furthermore, the training efficiency of most heterogeneous GNNs has been hindered by their sophisticated designs for extracting the semantics associated with each meta path or relation. In this paper, we propose WIde and DEep message passing Network (WIDEN) to cope with the aforementioned problems about heterogeneity, inductiveness, and efficiency that are rarely investigated together in graph representation learning. In WIDEN, we propose a novel inductive, meta path-free message passing scheme that packs up heterogeneous node features with their associated edges from both low- and high-order neighbor nodes. To further improve the training efficiency, we innovatively present an active downsampling strategy that drops unimportant neighbor nodes to facilitate faster information propagation. Experiments on three real-world heterogeneous graphs have further validated the efficacy of WIDEN on both transductive and inductive node representation learning, as well as the superior training efficiency against state-of-the-art baselines.