This work aims to help resolve the two main stumbling blocks in the application of Deep Neural Networks (DNNs), that is, the exceedingly large number of trainable parameters and their physical interpretability. This is achieved through a tensor valued approach, based on the proposed Tucker Tensor Layer (TTL), as an alternative to the dense weight-matrices of DNNs. This allows us to treat the weight-matrices of general DNNs as a matrix unfolding of a higher order weight-tensor. By virtue of the compression properties of tensor decompositions, this enables us to introduce a novel and efficient framework for exploiting the multi-way nature of the weight-tensor in order to dramatically reduce the number of DNN parameters. We also derive the tensor valued back-propagation algorithm within the TTL framework, by extending the notion of matrix derivatives to tensors. In this way, the physical interpretability of the Tucker decomposition is exploited to gain physical insights into the NN training, through the process of computing gradients with respect to each factor matrix. The proposed framework is validated on both synthetic data, and the benchmark datasets MNIST, Fashion-MNIST, and CIFAR-10. Overall, through the ability to provide the relative importance of each data feature in training, the TTL back-propagation is shown to help mitigate the "black-box" nature inherent to NNs. Experiments also illustrate that the TTL achieves a 66.63-fold compression on MNIST and Fashion-MNIST, while, by simplifying the VGG-16 network, it achieves a 10\% speed up in training time, at a comparable performance.