A deep link is a URL that links to content "deep" in your site structure.
You may have a product you are trying to sell, or a video series you are trying to promote. With a deep link you can have another app link directly to that piece of content in your app.
In your app, you would need to create a URL schema so that your app system will know what to do.
For instance, for my app BibleTalk.tv the url schema is bibletalktv:// and for Zalongo the schema is zalongo://
These links may also be called Universal Links on iOS.
To learn more about deep links, see these help guides:
Built for fun by Hal Gatewood so I could test my mobile apps.