Exploring depth means to dive beneath the surface. Too often, we can skirt the surface of things, without giving their full space our full attention. There are a few different ways we can reckon more completely with things in their depth, including ourselves. 
Some of the concepts, ideas and media mentioned in this episode include the notion of a "depth year", Stephen King's "On Writing", Natasha Lyonne's "Russian Doll" (and a piece of wisdom Ryan picked up from her) and more.