They are close synonyms. They are interchangeable in literal meaning, but not in feeling.
"Deep" is a plain, common word. It is used in all sorts of ordinary situations. "Lake Superior is 400 meters deep." "I hit a deep pothole in the road and lost a hubcap." It can be used in an abstract way: "He was deep in thought," "In thermodynamics, entropy is a very deep concept."
"Profound" is a more formal and elegant word. It combines the idea of "deep" with a feeling of awe or importance. It is stronger than "deep." "He collapsed and sobbed in profound grief." "Beethoven is a truly profound composer."
It is possible but unusual to use "profound" simply to mean "deep." "the old volcanic rocks have been cut through by many profound ravines," "And under the sinister splendour of that sky the sea, blue and profound, remained still." "these frail vessels the Canadians brave the rapidity of the rivers and the profundity of the lakes."