Ballywho, Are you referring to depth or a recessed soundstage? There is a difference. If you think your system has depth because the performers sound like they have moved beyond the wall behind your speakers you are mistaken. It is still a flat sound stage.
I guess we should define what depth in a stereo system is.
Do you get the illusion of depth on all recordings? If you do, it is most likely an effect manufactured by your system and its set up. All recordings present a different perspective on width and depth and your system should give an accurate representation of each recording.
Our best reference for recorded music is a live acoustic performance. Not listening to equipment in stereo stores until your wife thinks you are seeing another woman.