Hadronic jets in deeply inelastic electron-proton collisions are produced by the scattering of a parton from the proton with the virtual gauge boson mediating the interaction. The HERA experiments have performed precision measurements of inclusive single jet production and di-jet production in the Breit frame, which provide important constraints on the strong coupling constant and on parton distributions in the proton. We describe the calculation of the next-to-next-to-leading order (NNLO) QCD corrections to these processes, and assess their size and impact. A detailed comparison with data from the H1 and ZEUS experiments highlights that inclusive single jet production displays a better perturbative convergence than di-jet production. We also observe that the event selection cuts in some of the di-jet measurements of both H1 and ZEUS induce an infrared sensitivity that destabilises the perturbative stability of the predictions. Our results open up new opportunities for QCD precision studies with jet production observables in deep inelastic scattering.