ESP8266 draws 80mA but has short peak at around 300mA
nRF24 draws 30mA but has short peaks too, that's the reason you should add a cap.
Deep sleep on ESP8266 is different fron the Arduino one, when it awake it restart like a reset and the power consuption is very high.
https://www.esp8266.com/viewtopic.php?f=13&t=3875