Metric learning learns a metric function from training data to calculate the similarity or distance between samples. From the perspective of feature learning, metric learning essentially learns a new feature space by feature transformation (e.g., Mahalanobis distance metric). However, traditional metric learning algorithms are shallow, which just learn one metric space (feature transformation). Can we further learn a better metric space from the learnt metric space? In other words, can we learn metric progressively and nonlinearly like deep learning by just using the existing metric learning algorithms? To this end, we present a hierarchical metric learning scheme and implement an online deep metric learning framework, namely ODML. Specifically, we take one online metric learning algorithm as a metric layer, followed by a nonlinear layer (i.e., ReLU), and then stack these layers modelled after the deep learning. The proposed ODML enjoys some nice properties, indeed can learn metric progressively and performs superiorly on some datasets. Various experiments with different settings have been conducted to verify these properties of the proposed ODML.