Acoustic emission (AE) approach for non-destructive evaluation of structure is being developed for last two decades. In complex structures, one of the limitation of AE testing is to find the location of AE source. Time of flight and wave velocity are typically employed to localise AE sources. However, complex rail structure generates multiple wave modes travelling at varying speeds, making localization a difficult task. In this paper, the challenge of localisation has been split up into two parts: (i) identification of AE source zone i.e. head, web and foot (ii) identification of location along length of rail. AE events are simulated using pencil lead break (PLB) as source. Three models including artificial neural network (ANN), 1D and 2D convolutional neural network (CNN) are trained and tested using AE signals generated by PLB sources. The accuracy of zone identification is reported as 94.79% by using 2D CNN algorithm. For location classification it is also found that 2D CNN performed best with 73.12%, 79.37% and 67.50% accuracy of localizing AE source along the length in head, web and foot, respectively. For AE signal generating from actual damage in rail, bending test on inverted damaged rail section was then performed with load cases of 100kN, 150kN and 200kN. For all load cases, 2D CNN model results in accurate prediction of the zone of AE source, whereas, it accurately predicts the AE source location along the length for the load cases of higher intensity (150kN, 200kN). It is envisaged that the deep learning approach presented in this research work is expected to be helpful in developing real time monitoring system for rail inspection based on AE.