Hello
The probes that can drive on planets are called rovers. NASA's Mars rovers, for example, are designed to explore the surface of Mars by traveling across the terrain and conducting various scientific experiments.
There have been a number of robotic exploratory vehicles sent from Earth to other planets and asteroids, but there is no indication that other planets have sent any probes to Earth. Of course, we would not necessarily see it. It might be designed to be inconspicuous, a stealth probe.
they studied the structure of planets
Some space probes have small robots called "rovers" that are designed to explore the surface of planets or moons. These rovers are equipped with various instruments and cameras to collect data and images.
probes or satellites
Most famously, it was voyager 1 and 2 that explored these outer gas planets and have given us so much information. Other probes have been sent to these gas giants, but these are the the probes that visited all four gas giants between them.
into deep space
Space probes leave Earth, they do not go toit.
The two Voyager space probes are robotic spacecraft launched in 1977 as the first spacecraft to examine the outer planets. Both are still operating, having passed the orbits of the outer planets, and drifting toward the boundary of the solar system.
NASA gets it's space probes back to earth by computer commands. However. most space probes are not designed for re-entry and remain in space to continuously monitor planets and such.
mercury venus mars Jupiter Saturn uranus and neptune
At current we have sent, or are sending, probes to all of the planets in our solar system. The probe Voyager has visited several planets, including Jupiter and Neptune, while Cassini is currently in orbit around Saturn.