The process of reconstructing underlying cortical and subcortical electrical activities from Electroencephalography (EEG) or Magnetoencephalography (MEG) recordings is called Electrophysiological Source Imaging (ESI). Given the complementarity between EEG and MEG in measuring radial and tangential cortical sources, combined EEG/MEG is considered beneficial in improving the reconstruction performance of ESI algorithms. Traditional algorithms mainly emphasize incorporating predesigned neurophysiological priors to solve the ESI problem. Deep learning frameworks aim to directly learn the mapping from scalp EEG/MEG measurements to the underlying brain source activities in a data-driven manner, demonstrating superior performance compared to traditional methods. However, most of the existing deep learning approaches for the ESI problem are performed on a single modality of EEG or MEG, meaning the complementarity of these two modalities has not been fully utilized. How to fuse the EEG and MEG in a more principled manner under the deep learning paradigm remains a challenging question. This study develops a Multi-Modal Deep Fusion (MMDF) framework using Attention Neural Networks (ANN) to fully leverage the complementary information between EEG and MEG for solving the ESI inverse problem, which is termed as MMDF-ANN. Specifically, our proposed brain source imaging approach consists of four phases, including feature extraction, weight generation, deep feature fusion, and source mapping. Our experimental results on both synthetic dataset and real dataset demonstrated that using a fusion of EEG and MEG can significantly improve the source localization accuracy compared to using a single-modality of EEG or MEG. Compared to the benchmark algorithms, MMDF-ANN demonstrated good stability when reconstructing sources with extended activation areas and situations of EEG/MEG measurements with a low signal-to-noise ratio.