The goal of connectomics is to manifest the interconnections of neural system with the Electron Microscopy (EM) images. However, the formidable size of EM image data renders human annotation impractical, as it may take decades to fulfill the whole job. An alternative way to reconstruct the connectome can be attained with the computerized scheme that can automatically segment the neuronal structures. The segmentation of EM images is very challenging as the depicted structures can be very diverse.To address this difficult problem, a deep contextual network is proposed here by leveraging multi-level contextual information from the deep hierarchical structure to achieve better segmentation performance.To further improve the robustness against the vanishing gradients and strengthen the capability of the back-propagation of gradient flow, auxiliary classifiers are incorporated in the architecture of our deep neural network. It will be shown that our method can effectively parse the semantic meaning from the images with the underlying neural network and accurately delineate the structural boundaries with the reference of low-level contextual cues. Experimental results on the benchmark dataset of 2012 ISBI segmentation challenge of neuronal structures suggest that the proposed method can outperform the state-of-the-art methods by a large margin with respect to different evaluation measurements. Our method can potentially facilitate the automatic connectome analysis from EM images with less human intervention effort.