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This paper focuses on the classification of seven locomotion modes (sitting, standing, level ground walking, ramp ascent and descent, stair ascent and descent), the transitions among these modes, and the gait phases within each mode, by only using data in the frequency domain from one or two inertial measurement units. Different deep neural network configurations are investigated and compared by combining convolutional and recurrent layers. The results show that a system composed of a convolutional neural network followed by a long short-term memory network is able to classify with a mean F1-score of 0.89 and 0.91 for ten healthy subjects, and of 0.92 and 0.95 for one osseointegrated transfemoral amputee subject (excluding the gait phases because they are not labeled in the data-set), using one and two inertial measurement units, respectively, with a 5-fold cross-validation. The promising results obtained in this study pave the way for using deep learning for the control of transfemoral prostheses with a minimum number of inertial measurement units.