In this work, the classical Wiener–Hopf method is incorporated into the emerging deep neural networks for the study of certain wave problems. The essential idea is to use the first-principle-based analytical method to efficiently produce a large volume of datasets that would supervise the learning of data-hungry deep neural networks, and to further explain the working mechanisms on underneath. To demonstrate such a combinational research strategy, a deep feed-forward network is first used to approximate the forward propagation model of a duct acoustic problem, which can find important aerospace applications in aeroengine noise tests. Next, a convolutional type U-net is developed to learn spatial derivatives in wave equations, which could help to promote computational paradigm in mathematical physics and engineering applications. A couple of extensions of the U-net architecture are proposed to further impose possible physical constraints. Finally, after giving the implementation details, the performance of the neural networks are studied by comparing with analytical solutions from the Wiener–Hopf method. Overall, the Wiener–Hopf method is used here from a totally new perspective and such a combinational research strategy shall represent the key achievement of this work.