In a literal sense, deeper is going down a greater distance from the surface, for example water. Farther back would mean to retreat or return a greater distance from the starting point, rather than going forward.
Often these are used in a figurative sense. To go deeper might mean to investigate something in more detail, rather than superficially. To go farther back in time, would mean to look at something from an earlier period. For example, if you were talking about what you did last year, to go farther back you might talk about the year before.