Network embedding aims to learn distributed vector representations of nodes in a network. The problem of network embedding is fundamentally important. It plays crucial roles in many applications, such as node classification, link prediction, and so on. As the real-world networks are often sparse with few observed links, many recent works have utilized the local and global network structure proximity with shallow models for better network embedding. In reality, each node is usually associated with rich attributes. Some attributed network embedding models leveraged the node attributes in these shallow network embedding models to alleviate the data sparsity issue. Nevertheless, the underlying structure of the network is complex. What is more, the connection between the network structure and node attributes is also hidden. Thus, these previous shallow models fail to capture the nonlinear deep information embedded in the attributed network, resulting in the suboptimal embedding results. In this paper, we propose a deep attributed network embedding framework to capture the complex structure and attribute information. Specifically, we first adopt a personalized random walk-based model to capture the interaction between network structure and node attributes from various degrees of proximity. After that, we construct an enhanced matrix representation of the attributed network by summarizing the various degrees of proximity. Then, we design a deep neural network to exploit the nonlinear complex information in the enhanced matrix for network embedding. Thus, the proposed framework could capture the complex attributed network structure by preserving both the various degrees of network structure and node attributes in a unified framework. Finally, empirical experiments show the effectiveness of our proposed framework on a variety of network embedding-based tasks.