I'm not sure exactly how you mean 'greater depth'.
In one way, you could be talking about a fleshed out world, multiple characters all with backstories, quests, drives, reasons, etc. which forms a rich tapestry of a world. Of course this sort of thing typically takes a lot of writing to properly achieve.
Subtle hints are another tool in the latter example. Things that on one's first read through, they may not notice, however with a few more passes those things echo a much deeper tale than first appeared.
By this do you mean foreshadowing? Is there something more?