The heart sound signal is one of the signals that reflect the health of the heart. Research on the heart sound signal contributes to the early diagnosis and prevention of cardiovascular diseases. As a commonly used deep learning network, convolutional neural network (CNN) has been widely used in images. In this paper, the method of analyzing heart sound through using CNN has been studied. Firstly, the original data set was preprocessed, and then the heart sounds were segmented on U-net, based on the deep CNN. Finally, the classification of heart sounds was completed through CNN. The data from 2016 PhysioNet/CinC Challenge was utilized for algorithm validation, and the following results were obtained. When the heart sound segmented, the overall accuracy rate was 0.991, the accuracy of the first heart sound was 0.991, the accuracy of the systolic period was 0.996, the accuracy of the second heart sound was 0.996, and the accuracy of the diastolic period was 0.997, and the average accuracy rate was 0.995; While in classification, the accuracy was 0.964, the sensitivity was 0.781, and the specificity was 0.873. These results show that deep learning based on CNN shows good performance in the segmentation and classification of the heart sound signal.