Deep ensembles improve the performance of the models by taking the average predictions of a group of ensemble members. However, the origin of these capabilities remains a mystery and deep ensembles are used as a reliable “black box” to improve the performance. Existing studies typically attribute such improvement to Jensen gaps of the deep ensemble method, where the loss of the mean does not exceed the mean of the loss for any convex loss metric. In this work, we demonstrate that Jensen’s inequality is not responsible for the effectiveness of deep ensembles, and convexity is not a necessary condition. Instead, Jensen Gap focuses on the “average loss” of individual models, which provides no practical meaning. Thus it fails to explain the core phenomena of deep ensembles such as the superiority to any single ensemble member, the decreasing loss with the number of ensemble members, etc. Regarding this mystery, we provide theoretical analysis and comprehensive empirical results from a statistical perspective that reveal the true mechanism of deep ensembles. Our results highlight that deep ensembles originate from the homogeneous output distribution across all ensemble members. Specifically, the predictions of homogeneous models (Abe et al., 2022b) have the distributional equivalence property – Although the predictions of independent ensemble members are point-wise different, they form an identical distribution. Such agreement and disagreement contribute to deep ensembles’ “magical power”. Based on this discovery, we provide rigorous proof of the effectiveness of deep ensembles and analytically quantify the extent to which ensembles improve performance. The derivations not only theoretically quantify the effectiveness of deep ensembles for the first time, but also enable estimation schemes that foresee the performance of ensembles with different capacities. Furthermore, different from existing studies, our results also point out that deep ensembles work in a different mechanism from model scaling a single model, even though significant correlations between them have been observed.