Aiming at the problems of high pilot overhead of traditional channel estimation algorithm and low frequency utilization of the underwater direct current optical orthogonal frequency division multiplexing (DCO-OFDM) system, an underwater optical channel estimation method based on compressed sensing depth-first multi-path matching pursuit (MMP-DF) is proposed. Based on the frequency domain response at the pilot frequency of DCO-OFDM system, this method constructs a compressed sensing model applies the MMP-DF algorithm to underwater optical channel estimation, and then estimates the channel time-domain impulse response. Simulation results show that in the DCO-OFDM system, compared with the traditional channel estimation algorithm, this method requires less pilot overhead and high estimation accuracy. When the number of pilots is small, the estimation accuracy of MMP-DF algorithm is better than orthogonal matching pursuit (OMP) algorithm.