We present a review on the recent advances and emerging opportunities around the theme of analyzing deep neural networks (DNNs) with information-theoretic methods. We first discuss popular information-theoretic quantities and their estimators. We then introduce recent developments on information-theoretic learning principles (e.g., loss functions, regularizers and objectives) and their parameterization with DNNs. We finally briefly review current usages of information-theoretic concepts in a few modern machine learning problems and list a few emerging opportunities.