This paper develops a wearable sport activity classification system and its associated deep learning-based sport activity classification algorithm for accurately recognizing sport activities. The proposed wearable system used two wearable inertial sensing modules worn on athletes wrist and ankle to collect sport motion signals and utilized a deep convolutional neural network (CNN) to extract the inherent features from the spectrograms of the short-term Fourier transform (STFT) of the sport motion signals. The wearable inertial sensing module is composed of a microcontroller, a triaxial accelerometer, a triaxial gyroscope, an RF wireless transmission module, and a power supply circuit. All ten participants wore the two wearable inertial sensing modules on their wrist and ankle to collect motion signals generated by sport activities. Subsequently, we developed a deep learning-based sport activity classification algorithm composed of sport motion signal collection, signal preprocessing, sport motion segmentation, signal normalization, spectrogram generation, image mergence/resizing, and CNN-based classification to recognize ten types of sport activities. The CNN classifier consisting of two convolutional layers, two pooling layers, a fully-connected layer, and a softmax layer can be used to divide the sport activities into table tennis, tennis, badminton, golf, batting baseball, shooting basketball, volleyball, dribbling basketball, running, and bicycling, respectively. Finally, the experimental results show that the proposed wearable sport activity classification system and its deep learning-based sport activity classification algorithm can recognize 10 sport activities with the classification rate of 99.30.