Depth is an illusion that is somewhat crude, certainly not as precise as lateral placement. In most systems, center image instruments/soloist tend to sound like they are located at the position of the wall behind the speakers. Instruments and soloists locate far left or right tend to sound more like they are located at the speaker. The difference between back wall and the near the plane of the front of the speaker sort of becomes the perceived depth.
There are certain recording cues that add to the sense of depth. It you hear a soloist singing up close to the microphone, with very little reverberation (natural decay of echoes of that voice), the sense is that that person is closer to you; the farther away that person is, the higher the percentage of reverberant energy (vis-a-vis direct energy) and the greater the sense of distance. It is not often that this type of reverberant decay is well capture (or faked) in recordings. Other cues include changes in the tonal balance of instruments and singers when they are close or further away (e.g., higher frequency sibilance is softened with distance).
It is easiest to here these things with simpler recordings done by companies that care about recording quality (e.g., Chesky Records). They have some test CDs that include samples of their music and stereo demonstration tracks that are pretty good at demonstrating depth (one track captured depth cues by having a speaker ,who also taps a tambourine, simply move progressively away from a microphone).