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Standard deep neural networks (DNNs) are commonly trained in an end-to-end fashion for specific tasks such as object recognition, face identification, or character recognition, among many examples. This specificity often leads to overconfident models that generalize poorly to samples that are not from the original training distribution. Moreover, such standard DNNs do not allow to leverage information from heterogeneously annotated training data, where for example, labels may be provided with different levels of granularity. Furthermore, DNNs do not produce results with simultaneous different levels of confidence for different levels of detail, they are most commonly an all or nothing approach. To address these challenges, we introduce the concept of nested learning: how to obtain a hierarchical representation of the input such that a coarse label can be extracted first, and sequentially refine this representation, if the sample permits, to obtain successively refined predictions, all of them with the corresponding confidence. We explicitly enforce this behavior by creating a sequence of nested information bottlenecks. Looking at the problem of nested learning from an information theory perspective, we design a network topology with two important properties. First, a sequence of low dimensional (nested) feature embeddings are enforced. Then we show how the explicit combination of nested outputs can improve both the robustness and the accuracy of finer predictions. Experimental results on Cifar-10, Cifar-100, MNIST, Fashion-MNIST, Dbpedia, and Plantvillage demonstrate that nested learning outperforms the same network trained in the standard end-to-end fashion.