Deep learning models often use a flat softmax layer to classify samples after feature extraction in visual classification tasks. However, it is hard to make a single decision of finding the true label from massive classes. In this scenario, hierarchical classification is proved to be an effective solution and can be utilized to replace the softmax layer. A key issue of hierarchical classification is to construct a good label structure, which is very significant for classification performance. Several works have been proposed to address the issue, but they have some limitations and are almost designed heuristically. In this article, inspired by fuzzy rough set theory, we propose a deep fuzzy tree model which learns a better tree structure and classifiers for hierarchical classification with theory guarantee. Experimental results show the effectiveness and efficiency of the proposed model in various visual classification datasets.