Each year, deep learning demonstrate new and improved empirical results with deeper and wider neural networks. Meanwhile, with existing theoretical frameworks, it is difficult to analyze networks deeper than two layers without resorting to counting parameters or encountering sample complexity bounds that are exponential in depth. Perhaps it may be fruitful to try to analyze modern machine learning under a different lens. In this paper, we propose a novel information-theoretic framework with its own notions of regret and sample complexity for analyzing the data requirements of machine learning. We use this framework to study the sample complexity of learning from data generated by deep ReLU neural networks and deep networks that are infinitely wide but have a bounded sum of weights. We establish that the sample complexity of learning under these data generating processes is at most linear and quadratic, respectively, in network depth.