The Beast of the Depths is a monster the Trix commanded to attack the Winx Club and Daphne in the first episode of Season 6, "Inspiration of Sirenix". According to Daphne, the beast can never be destroyed/defeated/killed, but can be controlled by an extremely powerful entity. This creature is also immune to the mighty Dragon Flame power. Only the nymph of Domino/Magix can easily control and command it to her whim and desire.
Later on in the episode, the Winx convince Daphne that she can transform into her Sirenix form and will be able to drive the Beast away. Daphne succeeds in transforming and commands the Beast to return to the depths of the ocean.