Mesophotic and deeper reefs of the tropics are poorly known and underexplored ecosystems worldwide. Collectively referred to as the 'twilight zone', depths below ~30-40 m are home to many species of reef fishes that are absent from shallower depths, including many undescribed and endemic species. We currently lack even a basic understanding of the diversity and evolutionary origins of fishes on tropical mesophotic reefs. Recent submersible collections in the Caribbean have provided new specimens that are enabling phylogenetic reconstructions that incorporate deep-reef representatives of tropical-fish genera. Here, we investigate evolutionary depth transitions in the family Gobiidae (gobies), the most diverse group of tropical marine fishes. Using divergence-time estimation coupled with stochastic character mapping to infer the timing of shallow-to-deep habitat transitions in gobies, we demonstrate at least four transitions from shallow to mesophotic depths. Habitat transitions occurred in two broad time periods (Miocene, Pliocene-Pleistocene), and may have been linked to the availability of underutilized niches, as well as the evolution of morphological/behavioral adaptations for life on deep reefs. Further, our analysis shows that at least three evolutionary lineages that invaded deep habitats subsequently underwent speciation, reflecting another unique mode of radiation within the Gobiidae. Lastly, we synthesize depth distributions for 95 species of Caribbean gobies, which reveal major bathymetric faunal breaks at the boundary between euphotic and mesophotic reefs. Ultimately our study is the first rigorous investigation into the origin of Caribbean deep-reef fishes, and provides a framework for future studies that utilize rare, deep-reef specimens.