Deep Cheep

Deep-Cheeps are a special variety of Cheep-Cheeps that are found in New Super Mario Bros. and New Super Mario Bros. Wii. They act and appear to be regular Cheep-Cheeps, except for the fact that these creatures are green and will actively chase Mario or Luigi in underwater levels depending on the direction they swim. Deep-Cheeps will only give up pursuing Mario or Luigi if they swim behind and past them.

New Super Mario Bros.
In New Super Mario Bros., Deep-Cheeps and their larger variant, the Mega Deep-Cheep, only appear in World 6. They chase Mario or Luigi until they swim away.

New Super Mario Bros. Wii
In New Super Mario Bros. Wii, they are slightly more common. One appears in World 1-4 along with a Mega Deep-Cheep. If Mario and co. keep staying in the area, another pair will appear. They also appear in the second part of World 8-4.

New Super Mario Bros. 2
Deep-Cheeps reappear in New Super Mario Bros. 2, where nothing has changed about their behavior and appearance since New Super Mario Bros. Wii. Deep-Cheeps first appear in World Mushroom-2.

Mario Party 9
In Mario Party 9, a Deep-Cheep can be seen swimming around Blooper Beach. It jumps out of the water at various intervals and may even jump over the player's vehicle. It has no effect on the gameplay.

Trivia

 * Deep-Cheeps have the same color scheme as the Mr. Kipper enemy in Super Mario RPG: Legend of the Seven Stars.