Depth in a well is the measurement, for any point in that well, of the distance between a reference point or elevation, and that point. It is the most common method of reference for locations in the well.
By extension, depth can refer to locations below, or distances from, a reference point or elevation, even when there is no well. In that sense, depth is a concept related to elevation, albeit in the opposite direction. Depth in a well is not necessarily measured vertically or along a straight line.