This review addresses the deep interior structure of Mercury. Mercury is thought to consist of similar chemical reservoirs (core, mantle, crust) as the other terrestrial planets, but with a relatively much larger core. Constraints on Mercury's composition and internal structure are reviewed, and possible interior models are described. Large advances in our knowledge of Mercury's interior are not only expected from imaging of characteristic surface features but particularly from geodetic observations of the gravity field, the rotation, and the tides of Mercury. The low-degree gravity field of Mercury gives information on the differences of the principal moments of inertia, which are a measure of the mass concentration toward the center of the planet. Mercury's unique rotation presents several clues to the deep interior. From observations of the mean obliquity of Mercury and the low-degree gravity data, the moments of inertia can be obtained, and deviations from the mean rotation speed (librations) offer an exciting possibility to determine the moment of inertia of the mantle. Due to its proximity to the Sun, Mercury has the largest tides of the Solar System planets. Since tides are sensitive to the existence and location of liquid layers, tidal observations are ideally suited to study the physical state and size of the core of Mercury.