Graph embeddings have emerged as a powerful tool for understanding the structure of graphs. Unlike classical spectral methods, recent methods such as DeepWalk, Node2Vec, etc. are based on solving non-linear optimization problems on the graph, using local information obtained by performing random walks. These techniques have empirically been shown to produce ``better'' embeddings than their classical counterparts. However, due to their reliance on solving a non-convex optimization problem, obtaining theoretical guarantees on the properties of the solution has remained a challenge, even for simple classes of graphs. In this work, we show convergence properties for the DeepWalk algorithm on graphs obtained from the Stochastic Block Model (SBM). Despite being simplistic, the SBM is a classic model for analyzing the behavior of algorithms on large graphs. Our results mirror the existing ones for spectral embeddings on SBMs, showing that even in the case of one-dimensional embeddings, the output of the DeepWalk algorithm recovers the cluster structure with high probability.