As one of the key communication scenarios in the 5th and also the 6th generation (6G) of mobile communication networks, ultra-reliable and low-latency communications (URLLC) will be central for the development of various emerging mission-critical applications. State-of-the-art mobile communication systems do not fulfill the end-to-end delay and overall reliability requirements of URLLC. In particular, a holistic framework that takes into account latency, reliability, availability, scalability, and decision making under uncertainty is lacking. Driven by recent breakthroughs in deep neural networks, deep learning algorithms have been considered as promising ways of developing enabling technologies for URLLC in future 6G networks. This tutorial illustrates how domain knowledge (models, analytical tools, and optimization frameworks) of communications and networking can be integrated into different kinds of deep learning algorithms for URLLC. We first provide some background of URLLC and review promising network architectures and deep learning frameworks for 6G. To better illustrate how to improve learning algorithms with domain knowledge, we revisit model-based analytical tools and cross-layer optimization frameworks for URLLC. Following that, we examine the potential of applying supervised/unsupervised deep learning and deep reinforcement learning in URLLC and summarize related open problems. Finally, we provide simulation and experimental results to validate the effectiveness of different learning algorithms and discuss future directions.