First of all, define depth a bit better.
Second of all, XCOM has depth. You protect the world from aliens by shooting down UFOs and sending in the ground units to clean up.
On one level, you have to deal with logistics, ie. money and resources:
You can't just get by on the gear you get in the beginning, so you need to research stuff, and reverse engineer alien technology.
Once you do that, you also need to actually produce the stuff, since markets don't suddenly stock up whenever a secret organisation does some research.
Did I mention that scientists and engineers need to be paid? They are typically the biggest hole in your pocket, and must be sustained.
The world government pays you a decent amount based on your performance, but it never is enough later on. (A listening post that is made from an elevator and detection hardware costs 2mil. 2/5ths of the cash paid per month given the starting rate. After maintanence costs, you'll be lucky to keep the cash.)
Plus, a government might decide to help the aliens, and cut off your funds. You need at least one government that supports you.
Then we get to the final, most important resource. Elerium 115, a substance so important, that only the aliens have it. Good luck shooting their UFOs when you might blow up their unobtainium.
Don't get me started on the tactics your ground forces could use.