Empirically, Deep Learning (DL) has demonstrated unprecedented success in practical applications. However, DL remains by and large a mysterious "black-box", spurring recent theoretical research to build its mathematical foundations. In this paper, we investigate DL for data classification through the prism of metric topology. Considering that conventional Euclidean metric over the network parameter space typically fails to discriminate DL networks according to their classification outcomes, we propose from a probabilistic point of view a meaningful distance measure, whereby DL networks yielding similar classification performances are close. The proposed distance measure defines such an equivalent relation among network parameter vectors that networks performing equally well belong to the same equivalent class. Interestingly, our proposed distance measure can provably serve as a metric on the quotient set modulo the equivalent relation. Then, under quite mild conditions it is shown that, apart from a vanishingly small subset of networks likely to predict non-unique labels, our proposed metric space is compact, and coincides with the well-known quotient topological space. Our study contributes to fundamental understanding of DL, and opens up new ways of studying DL using fruitful metric space theory.