Perhaps it means almost all night. At least, work continued until the very late hours.

It means we worked to a very late time. We used a lot of the night time to do work. If you know what deep into means. Like to go deeply into something, it means like that, but for the night. It means to work long hours, till a very late time at night. Often people will say "late into the night", such as in this Eric Clapton song: First line (it's late in the evening"). Extrapolate and you get "we worked until late in the night.") https://www.youtube.com/watch?v=xl7Hd2r0LOs