Peptide-based therapeutics are here to stay and will prosper in the future. A key step in identifying novel peptide-drugs is the determination of their bioactivities. Recent advances in peptidomics screening approaches hold promise as a strategy for identifying novel drug targets. However, these screenings typically generate an immense number of peptides and tools for ranking these peptides prior to planning functional studies are warranted. Whereas a couple of tools in the literature predict multiple classes, these are constructed using multiple binary classifiers. We here aimed to use an innovative deep learning approach to generate an improved peptide bioactivity classifier with capacity of distinguishing between multiple classes. We present MultiPep: a deep learning multi-label classifier that assigns peptides to zero or more of 20 bioactivity classes. We train and test MultiPep on data from several publically available databases. The same data are used for a hierarchical clustering, whose dendrogram shapes the architecture of MultiPep. We test a new loss function that combines a customized version of Matthews correlation coefficient with binary cross entropy (BCE), and show that this is better than using class-weighted BCE as loss function. Further, we show that MultiPep surpasses state-of-the-art peptide bioactivity classifiers and that it predicts known and novel bioactivities of FDA-approved therapeutic peptides. In conclusion, we present innovative machine learning techniques used to produce a peptide prediction tool to aid peptide-based therapy development and hypothesis generation.