To provide a high resolution water pressure measuring device suitable to measure the penetration depth of a probe for a cone penetration test to underwater ground of a large water depth region with high accuracy, a depth measuring device, and a penetration probe.

A device 100 for measuring water pressure has a differential pressure gauge 16 composed of a high pressure side introduction part 12 and a low pressure side introduction part 14 to measure differential pressure between water pressure introduced by the high pressure side introduction part 12 and water pressure introduced by the low pressure side introduction part 14, a water pressure chamber 18 that can introduce water pressure to be reference in the underwater, and an on-off valve 22 for opening and closing communication between the water pressure chamber 18 and the outside, and the low pressure side introduction part 14 introduces the pressure of the water pressure chamber 18.