A reflex is a simple closed-loop control approach that tries to minimize an error but fails to do so because it will always react too late. An adaptive algorithm can use this error to learn a forward model with the help of predictive cues. For example, a driver learns to improve steering by looking ahead to avoid steering in the last minute. In order to process complex cues such as the road ahead, deep learning is a natural choice. However, this is usually achieved only indirectly by employing deep reinforcement learning having a discrete state space. Here, we show how this can be directly achieved by embedding deep learning into a closed-loop system and preserving its continuous processing. We show in z-space specifically how error backpropagation can be achieved and in general how gradient-based approaches can be analyzed in such closed-loop scenarios. The performance of this learning paradigm is demonstrated using a line follower in simulation and on a real robot that shows very fast and continuous learning.