This paper focuses on the design and comparison of different deep neural networks for the real-time prediction of locomotor and transition intentions of one osseointegrated transfemoral amputee using only data from inertial measurement units. The deep neural networks are based on convolutional neural networks, recurrent neural networks, and convolutional recurrent neural networks. The architectures' input are features in both the time domain and the time-frequency domain, which are derived from either one inertial measurement unit (placed above the prosthetic knee) or two inertial measurement units (placed above and below the prosthetic knee). The prediction of eight different locomotion modes (i.e., sitting, standing, level ground walking, stair ascent and descent, ramp ascent and descent, walking on uneven terrain) and the twenty-four transitions among them is investigated. The study shows that a recurrent neural network, realized with four layers of gated recurrent unit networks, achieves (with a 5-fold cross-validation) a mean F1 score of 84.78% and 86.50% using one inertial measurement unit, and 93.06% and 89.99% using two inertial measurement units, with or without sitting, respectively.