With the advantage of vector propulsion that it can provide better mobility with any speed, especially at low speed, than using rudder for AUV navigation, a novel four-axis vector water-jet propulsion underwater vehicle is proposed. Based on the characteristics of the structure of the vehicle and the motion features, the kinematic and dynamic models are established and analyzed. Focusing on the vertical depth control of the vehicle, combined with adaptive control algorithm, a reliable sliding mode controller is presented. A smooth saturation function, which forces the system to maintain stable condition, is used to reduce jitter and to improve the quality of transient. The simulations results show that the depth and the pitching angle of the vehicle can be stabilized around the expected point. And the prototype test results validate that the control method is feasible and reliable.