We develop a deep Pontryagin learning framework for high-dimensional continuous-time stochastic control problems that naturally accommodates jump-diffusions. In contrast to direct policy optimization, which repeatedly differentiates the objective through the entire time-discretized dynamics, our method separates adjoint learning from policy improvement by explicitly incorporating state-sensitivity information from the Pontryagin stochastic maximum principle. For a fixed Markov control, we first compute pathwise adjoint labels by backpropagating the reward through time along simulated state trajectories, and project these labels onto the Markov state through a supervised regression step. The control is then updated by enforcing the pointwise Hamiltonian stationarity condition. We prove that the resulting projected adjoint process satisfies a discrete-time Pontryagin principle and converges, as the time step tends to zero, to the solution of the corresponding continuous-time adjoint backward stochastic differential equation. Numerical experiments illustrate the accuracy, stability, and scalability of the approach.

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