I'm going to answer this question based on the comment thread that happened on a deleted answer, where Sean said:
Thanks, but what I mean by depth isn't the bevel and emboss 3D, I just
meant layering; how it makes one footprint look like it's on top of
There are numerous ways to create a sense of "depth". As Scott mentioned, opacity is one technique. Any elements towards the bottom would have a lower opacity and elements stacked on top would have a higher opacity. The only draw back is that earlier footprints may be difficult to see and eventually, you will reach a maximum opacity.
Another alternative is to use different layers of footprints (separate the footprint paths based on walking from point A to point B.) Then you can add layer effects to emphasize depth. This includes drop-shadow and stroke. This approach takes a little bit more work, but you'll have more control over the result.
In the end there isn't a one-click solution that'll make your dreams come true (yet). for now you'll have to do some manual work to achieve the depth that you want to see.
Something else I might suggest is using less footprints overall, as it looks pretty cluttered as-is.