Machine learning can extract information from neural recordings, e.g., surface EEG, ECoG and μECoG, and therefore plays an important role in many research and clinical applications. Deep learning with artificial neural networks has recently seen increasing attention as a new approach in brain signal decoding. Here, we apply a deep learning approach using convolutional neural networks to μECoG data obtained with a wireless, chronically implanted system in an ovine animal model. Regularized linear discriminant analysis (rLDA), a filter bank component spatial pattern (FBCSP) algorithm and convolutional neural networks (ConvNets) were applied to auditory evoked responses captured by μECoG. We show that compared with rLDA and FBCSP, significantly higher decoding accuracy can be obtained by ConvNets trained in an end-to-end manner, i.e., without any predefined signal features. Deep learning thus proves a promising technique for μECoG-based brain-machine interfacing applications.