In wintertime, a high-density water forms on the shallow shelf in the vast Peter the Great Bay (Japan Sea). The steep continental slope with deep canyons and cold winters in the area provide suitable conditions for the implementation of deep slope convection—an important phenomenon in the formation of intermediate and bottom waters that occurs at a few locations in some semi-enclosed seas, including the Japan Sea. The descent of dense shelf water down the continental slope of Peter the Great Bay usually occurs to 1000–1200 m; however, in anomalously cold winters, it has been observed at greater than 2000 m depth supporting renewal and deep ventilation of intermediate and bottom waters in the Japan Sea. The deep slope convection is a rare episodic phenomenon with durations ranging from several hours to several days, that has never been simulated in Peter the Great Bay with a realistic numerical model of circulation. We apply the Regional Ocean Modeling System (ROMS) with a 600 m horizontal resolution to simulate the deep slope convection in the anomalously cold winter of 2001 when it has been observed in cruises. The results are compared with propagation of deep shelf water in the regular winter of 2010 when hydrological characteristics of this water were recorded by a profiler “Aqualog” installed at the shelf break. Using Lagrangian methods, we track and analyze the formation of dense shelf water, its advection to the slope edge in the bottom layer and descent down the slope. Special attention is payed to the role of coastal eddies arising due to a symmetric instability. These eddies promote the cross-shelf transport of the dense shelf water towards the continental slope edge. The simulation results are compared with rare observations of the deep slope convection in Peter the Great Bay.