This idiom or expression (which is not polite) means:

In trouble.
Under pressure.
In a messy situation that’s not easy to get out of.

A. Have you seen the test results?
B. Yes, I know, we’re deep sh-t!!

Also see:
In hot water.

This idiom or expression means:

In trouble.
Under pressure.

Political scandals have landed several public figures in hot water.

Also see:
In deep sh-t. (Not a polite thing to say.)