While most all stereo recordings have good imaging left to right, a lot of them are fairly compressed front to back. There was even for a time Phil Spector's famous "wall of sound". Only a relatively small share of recordings have a lot of depth. So first of all make sure you aren't trying to put legs on a snake.
That said, the first thing that will improve depth is to toe the speakers in so they are more directly at you. First assuming of course they are absolutely equidistant, level, and symmetrical. Then the more in they are the greater the sense of depth.
The next thing that will help create a superb sense of depth is Schumann generators. The dirt cheap circuit boards on eBay work great. I'm running 7 now and probably will add a couple more. Got mine Make Offer $10! No idea what or how these damn things do it but the improvement in space and depth and just an overall more natural palpable presence is amazing.
Another one I haven't tried yet but has a lot of very credible fans is super-tweeters like Townshend makes. They are on my list for this coming year. Townshend Pods, Cable Elevators, tubes, and turntables, whole lot of things upstream contribute, as well as downstream in the room. But mostly its recording, toe, Schumann, super-tweeter.
Some of these ideas like equipment between the speakers, they might be confusing focus with depth. Yes anything between especially if its reflective will diminish the solidity or focus of placement. But as far as depth itself is concerned, red herring. I've heard systems crammed right against the wall with a rack across the full space between the speakers that threw a stage extending way back beyond the wall. This was in fact the very Linn system that hooked me into analog. So again, upstream stuff like analog and tubes does indeed contribute to depth.