Trajectory movement labelling is an important pre-stage for predicting connected vehicle (CV) movement at intersections. Drivers' movement prediction and warning at intersections ensure advanced transportation safety and researchers use machine learning-based data-driven approaches to implement these technologies. However, prediction of drivers' movements at intersections requires labelling the train and test dataset accurately with different vehicle movements at intersections to evaluate the performance of the prediction model by comparing the actual and predicted intersection movements. Moreover, due to GPS detection error or missing co-operative awareness messages (CAM), the data resides with many abnormal trajectories which are unable to be matched with regular straight or any turning movements. Especially for big data with million trajectories, it is tedious to label the movements manually.To solve this problem, we have created an automated trajectory movement classification technique using a dual approach of map matching technique and deep transfer learning modelling. Data of connected vehicle trajectory information is taken from the Ipswich Connected Vehicle Pilot (ICVP) Project, which is one of the largest connected vehicle pilots within a naturalistic driving environment in Australia. Map matching approach is performed as initial labelling by analysing the origin and destination of the vehicle CAM messages at intersections and then was converted as image datasets of 19202 samples. The map matching error and abnormal trajectories are identified by visual inspection. With properly labelled 9496 training images, 10 transfer learning models are built and tested through the remaining 9706 testing images. The maximum testing accuracy (99.73%) is achieved from the Densenet169 model, and the result shows satisfactory accuracy for individual classes: straight (99.85%), turn left (99.59), turn right (99.25), u-turn (100%), abnormal (98.63%). This model becomes a routine tool that is used daily to automatically classify thousands of trajectory movements of the C-ITS data in the ICVP project.