The deep hole problem is a fundamental problem in coding theory, and it has many important applications in code constructions and cryptography. The deep hole problem of Reed-Solomon codes has gained a lot of attention. As a generalization of Reed-Solomon codes, we investigate the problem of deep holes of a class of twisted Reed-Solomon codes in this paper. Firstly, we provide the necessary and sufficient conditions for $\boldsymbol{a}=(a_{0},a_{1},\cdots,a_{n-k-1})\in\mathbb{F}_{q}^{n-k}$ to be the syndrome of some deep hole of $TRS_{k}(\mathcal{A},l,η)$. Next, we consider the problem of determining all deep holes of the twisted Reed-Solomon codes $TRS_{k}(\mathbb{F}_{q}^{*},k-1,η)$. Specifically, we prove that there are no other deep holes of $TRS_{k}(\mathbb{F}_{q}^{*},k-1,η)$ for $\frac{3q+2\sqrt{q}-8}{4}\leq k\leq q-5$ when q is even, and $\frac{3q+3\sqrt{q}-5}{4}\leq k\leq q-5$ when q is odd. We also completely determine their deep holes for $q-4\leq k\leq q-2$ when $q$ is even.