Recursion in Python works just as recursion in an other language, with the recursive construct defined in terms of itself:

For example a recursive class could be a binary tree (or any tree):

class tree():
    def __init__(self):
        '''Initialise the tree'''
        self.Data = None
        self.Count = 0
        self.LeftSubtree = None
        self.RightSubtree = None

    def Insert(self, data):
        '''Add an item of data to the tree'''
        if self.Data == None:
            self.Data = data
            self.Count += 1
        elif data < self.Data:
            if self.LeftSubtree == None:
                # tree is a recurive class definition
                self.LeftSubtree = tree()
            # Insert is a recursive function
            self.LeftSubtree.Insert(data)
        elif data == self.Data:
            self.Count += 1
        elif data > self.Data:
            if self.RightSubtree == None:
                self.RightSubtree = tree()
            self.RightSubtree.Insert(data)

if __name__ == '__main__':
    T = tree()
    # The root node
    T.Insert('b')
    # Will be put into the left subtree
    T.Insert('a')
    # Will be put into the right subtree
    T.Insert('c')

As already mentioned a recursive structure must have a termination condition. In this class, it is not so obvious because it only recurses if new elements are added, and only does it a single time extra.

Also worth noting, python by default has a limit to the depth of recursion available, to avoid absorbing all of the computer's memory. On my computer this is 1000. I don't know if this changes depending on hardware, etc. To see yours :

import sys
sys.getrecursionlimit()

and to set it :

import sys #(if you haven't already)
sys.setrecursionlimit()

edit: I can't guarentee that my binary tree is the most efficient design ever. If anyone can improve it, I'd be happy to hear how