Deep Lake is an abandoned castle of the Night's Watch, standing on the Wall a short distance east of the Nightfort, whose place it was built to take. It is the youngest of the Wall's castles, raised in the reign of King Jaehaerys I.
The Queen's Jewels
When Good Queen Alysanne came to the Wall she saw that the ancient Nightfort had grown too vast and too costly for the Watch to maintain, and she sold her jewels to pay for a newer, smaller castle. So Deep Lake rose beside the waters that named it, and the black brothers quit the Nightfort's haunted halls for its clean stone. Yet the Watch's decline spared no castle for long, and in time Deep Lake too was emptied, its gate sealed like those of its elder sisters.