Although the existing deep supervised solutions have achieved some great successes in medical image segmentation, they have the following shortcomings; (i) semantic difference problem: since they are obtained by very different convolution or deconvolution processes, the intermediate masks and predictions in deep supervised baselines usually contain semantics with different depth, which thus hinders the models’ learning capabilities; (ii) low learning efficiency problem: additional supervision signals will inevitably make the training of the models more time-consuming. Therefore, in this work, we first propose two deep supervised learning strategies, U-Net-Deep and U-Net-Auto, to overcome the semantic difference problem. Then, to resolve the low learning efficiency problem, upon the above two strategies, we further propose a new deep supervised segmentation model, called μ-Net, to achieve not only effective but also efficient deep supervised medical image segmentation by introducing a tied-weight decoder to generate pseudo-labels with more diverse information and also speed up the convergence in training. Finally, three different types of μ-Net-based deep supervision strategies are explored and a Similarity Principle of Deep Supervision is further derived to guide future research in deep supervised learning. Experimental studies on four public benchmark datasets show that μ-Net greatly outperforms all the state-of-the-art baselines, including the state-of-the-art deeply supervised segmentation models, in terms of both effectiveness and efficiency. Ablation studies sufficiently prove the soundness of the proposed Similarity Principle of Deep Supervision, the necessity and effectiveness of the tied-weight decoder, and using both the segmentation and reconstruction pseudo-labels for deep supervised learning.