Deep links are generally in the format of scheme://host/path. So for example, if your app name is Tiger Punch, your deep link might be tigerpunch://dosomething?key=value.
When an app is built, it registers this deep link address in the OS so that any external application that links to that will launch your app directly. So you might have a Tiger Punch website and have a button on it that says “PLAY NOW!” that only appears when on mobile. The button may link to “tigerpunch://dosomething?key=value”, and the OS knows to launch your app instead of doing something else (going somewhere else on the web, for example).