Entity Framework: Navigation Properties Issue

If you were to use proper variable typing then you would see what is happening. The entire set is lazy loaded loaded into memory by the navigation property.

//user is an instance of the class User referenced by DbSet<User>
//when you lazy load a navigation property in that set, it loads the data
ICollection<Student> allStudents = user.Students;

//At this point, all of the data was lazy loaded
//But the Where creates an IEnumerable of the in memory set
IEnumerable<Student> activeStudents = allStudents.Where(n => n.Active);

//At this point, the IEnumerable is iterated, and a List is returned
List<Student> listOfActiveStudents = activeStudents.ToList();

use dbContext.Entry( user ).Collection( u => u.Students ).Query() to get an IQueryable<Student> for the students collection navigation property, at which point you can add your filter and enumerate whenever you're ready for the data

Lazy loading loads the entire set into memory. If you don't want that, switch lazy loading off by removing the virtual keyword and use the Query object on the DbEntry:

public GetCourseWithActiveStudentsLoaded(int courseid)
{
   var course= context.Courses.Find(courseid); 

   context.Entry(course)
          .Collection(c => c.Students)
          .Query()
          .Where(s => s.Active)
          .Load();

   return user
}

Is the "Active" flag an indicator that you are trying to implement soft delete? If so there is a solution here: Soft Delete in Entity Framework

You can vote for filtered includes here: Allow filtering for Include extension method

Another way to do it would be with inheritance. You could have an ActiveStudent inheriting from Student and an ActiveStudents navigation property as well as an AllStudents navigation property in the Course class

public virtual Collection<Student> AllStudents { get; set;}
public virtual Collection<ActiveStudent> ActiveStudents { get; set;}

Reference:

Applying filters when explicitly loading related entities: