Being a crucial task of autonomous driving, Stereo matching has made great progress in recent years. Existing stereo matching methods estimate disparity instead of depth. They treat the disparity errors as the evaluation metric of the depth estimation errors, since the depth can be calculated from the disparity according to the triangulation principle. However, we find that the error of the depth depends not only on the error of the disparity but also on the depth range of the points. Therefore, even if the disparity error is low, the depth error is still large, especially for the distant points. In this paper, a novel Direct Depth Learning Network (DDL-Net) is designed for stereo matching. DDL-Net consists of two stages: the Coarse Depth Estimation stage and the Adaptive-Grained Depth Refinement stage, which are all supervised by depth instead of disparity. Specifically, Coarse Depth Estimation stage uniformly samples the matching candidates according to depth range to construct cost volume and output coarse depth. Adaptive-Grained Depth Refinement stage performs further matching near the coarse depth to correct the imprecise matching and wrong matching. To make the Adaptive-Grained Depth Refinement stage robust to the coarse depth and adaptive to the depth range of the points, the Granularity Uncertainty is introduced to Adaptive-Grained Depth Refinement stage. Granularity Uncertainty adjusts the matching range and selects the candidates features according to coarse prediction confidence and depth range. We verify the performance of DDL-Net on SceneFlow dataset and DrivingStereo dataset by different depth metrics. Results show that DDL-Net achieves an average improvement of 25% on the SceneFlow dataset and $12%$ on the DrivingStereo dataset comparing the classical methods. More importantly, we achieve state-of-the-art accuracy at a large distance.