Depth is one of the key factors behind the success of convolutional neural networks (CNNs). Since ResNet, we are able to train very deep CNNs as the gradient vanishing issue has been largely addressed by the introduction of skip connections. However, we observe that, when the depth is very large, the intermediate layers (especially shallow layers) may fail to receive sufficient supervision from the loss due to the severe transformation through a long backpropagation path. As a result, the representation power of intermediate layers can be very weak and the model becomes very redundant with limited performance. In this paper, we first investigate the supervision vanishing issue in existing backpropagation (BP) methods. And then, we propose to address it via an effective method, called Multi-way BP (MW-BP), which relies on multiple auxiliary losses added to the intermediate layers of the network. The proposed MW-BP method can be applied to most deep architectures with slight modifications, such as ResNet and MobileNet. Our method often gives rise to much more compact models (denoted by “Mw+Architecture”) than existing methods. For example, MwResNet-44 with 44 layers performs better than ResNet-110 with 110 layers on CIFAR-10 and CIFAR-100. More critically, the resultant models even outperform the light models obtained by state-of-the-art model compression methods. Last, our method inherently produces multiple compact models with different depths at the same time, which is helpful for model selection. Extensive experiments on both image classification and face recognition demonstrate the superiority of the proposed method.