It is proved that the multi-dimensional maximal Fejér operator defined in a cone is bounded from the amalgam Hardy space $W(h_p,{\ell }_{\infty })$ to $W(L_p,{\ell }_{\infty })$. This implies the almost everywhere convergence of the Fejér means in a cone for all $f\in W(L₁,{\ell }_{\infty })$, which is larger than $L₁\left({ℝ}^d\right)$.