Everyone can recognize a fantastical setting with a great scope.
But what does it actually mean for a setting to have great depth?
I am a massive Star Wars (90s) EU fan, and while it is hugely evocative, it doesn't really have much depth. No matter how many special cases and exceptions to the norm dozens of writers stick on to it, the Jedi and the Force are really very simple.
Does Bloodborne have depth? Or is that an illusion created by (deliberately) incomplete information?
@SJohnRoss I think one aspect that I would consider showing depth is when a new thing X is introduced and the audience can go "Oh yeah, that seems logical because of Y".
And of course even more so when there is sufficient information that the existance of A and C allows the audience to anticipate the existence of B, before B is ever shown.
When the first impression of a concept or element lets you see all there is to know about it, that's a lack of depth.