Human-robot collaborative assembly consists of humans and automated robots, who cooperate with each other to accomplish complex assembly tasks, which are difficult for either humans or robots to accomplish alone. There has been some success in statistics-based and optimization-based approaches to realize human-robot collaboration. However, they usually need a set of complex modeling and setup efforts and the robots usually need to be programmed by a well-trained expert. In this paper, we take a new approach by introducing convolutional neural networks (CNN) into the teaching- learning-collaboration (TLC) model for collaborative assembly tasks. The proposed approach can alleviate the need for complex modeling and setup compared to the existing approaches. It can collect and automatically label the data from human demonstrations and then train a CNN-based robot assistance model to make the robot assist humans in the assembly process in real-time. We have experimentally verified our proposed approach on a human-robot collaborative assembly platform and the results suggest that the robot can successfully learn from human demonstrations to automatically generate right actions to assist human in accomplishing assembly tasks.