In the past two decades, photothermal microscopy (PTM) has achieved sensitivity at the level of a single particle or molecule and has found applications in the fields of material science and biology. PTM is a far-field imaging method; its resolution is restricted by the diffraction limits. In our previous work, the modulated difference PTM (MDPTM) was proposed to improve the lateral resolution, but its resolution improvement was seriously constrained by information loss and artifacts. In this Letter, a deep learning approach of the cycle generative adversarial network (Cycle GAN) is employed for further improving the resolution of PTM, called DMDPTM. The point spread functions (PSFs) of both PTM and MDPTM are optimized and act as the second generator of Cycle GAN. Besides, the relationship between the sample's volume and the photothermal signal is utilized during dataset construction. The images of both PTM and MDPTM are utilized as the inputs of the Cycle GAN to incorporate more information. In the simulation, DMDPTM quantitatively distinguishes a distance of 60 nm between two nanoparticles (each with a diameter of 60 nm), demonstrating a 4.4-fold resolution enhancement over the conventional PTM. Experimentally, the super-resolution capability of DMDPTM is verified by restored images of Au nanoparticles, achieving the resolution of 114 nm. Finally, the DMDPTM is successfully employed for the imaging of carbon nanotubes. Therefore, the DMDPTM will serve as a powerful tool to improve the lateral resolution of PTM.