Data analysis plays an increasingly valuable role in sports. The better the data that is analysed, the more concise training methods that can be chosen. Several solutions already exist for this purpose in the tennis industry; however, none of them combine data generation with a wristband and classification with a deep convolutional neural network (CNN). In this article, we demonstrate the development of a reliable shot detection trigger and a deep neural network that classifies tennis shots into three and five shot types. We generate a dataset for the training of neural networks with the help of a sensor wristband, which recorded 11 signals, including an inertial measurement unit (IMU). The final dataset included 5682 labelled shots of 16 players of age 13–70 years, predominantly at an amateur level. Two state-of-the-art architectures for time series classification (TSC) are compared, namely a fully convolutional network (FCN) and a residual network (ResNet). Recent advances in the field of machine learning, like the Mish activation function and the Ranger optimizer, are utilized. Training with the rather inhomogeneous dataset led to an F1 score of 96% in classification of the main shots and 94% for the expansion. Consequently, the study yielded a solid base for more complex tennis analysis tools, such as the indication of success rates per shot type.