Hashing is becoming increasingly popular for approximate nearest neighbor searching in massive databases due to its storage and search efficiency. Recent supervised hashing methods, which usually construct semantic similarity matrices to guide hash code learning using label information, have shown promising results. However, it is relatively difficult to capture and utilize the semantic relationships between points in unsupervised settings. To address this problem, we propose a novel unsupervised deep framework called Semantic Structure-based unsupervised Deep Hashing (SSDH). We first empirically study the deep feature statistics, and find that the distribution of the cosine distance for point pairs can be estimated by two half Gaussian distributions. Based on this observation, we construct the semantic structure by considering points with distances obviously smaller than the others as semantically similar and points with distances obviously larger than the others as semantically dissimilar. We then design a deep architecture and a pair-wise loss function to preserve this semantic structure in Hamming space. Extensive experiments show that SSDH significantly outperforms current state-of-the-art methods.