We consider a family of deep neural networks consisting of two groups of convolutional layers, a downsampling operator, and a fully connected layer. The network structure depends on two structural parameters which determine the numbers of convolutional layers and the width of the fully connected layer. We establish an approximation theory with explicit approximation rates when the approximated function takes a composite form $f\circ Q$ with a feature polynomial $Q$ and a univariate function $f$. In particular, we prove that such a network can outperform fully connected shallow networks in approximating radial functions with $Q(x) =|x|^2$, when the dimension $d$ of data from $\mathbb{R}^d$ is large. This gives the first rigorous proof for the superiority of deep convolutional neural networks in approximating functions with special structures. Then we carry out generalization analysis for empirical risk minimization with such a deep network in a regression framework with the regression function of the form $f\circ Q$. Our network structure which does not use any composite information or the functions $Q$ and $f$ can automatically extract features and make use of the composite nature of the regression function via tuning the structural parameters. Our analysis provides an error bound which decreases with the network depth to a minimum and then increases, verifying theoretically a trade-off phenomenon observed for network depths in many practical applications.