Going deep is a saying which explains a situation in which you are going all the way. It can be used in almost any situation as long as you (or something(eg. dick)) are going deep.
Mate, did you see the smoke off your tires??
Yeah bro, the accelerator was going deep.
How was that chick from the other night Billy?
Oh she was a cock craving slut mate, she went deep.
Why do you keep winning?
Because I go deep.
Did you drink all your booze yet?
Yeah ages ago, I went deep.