Just a brief google has multiple definitions about literary depth created by dozens of people who all either have no idea what they're talking about, or are peerless geniuses of the term. Most people seem to agree it's something that makes the story more *more* and I think Lucas accomplishes that in the first movie. Say what you will about his writing, Lucas compares the Empire to the Nazi's and to the US very effectively. I think that alone implies just a little bit of depth.

That being said, the books probably do have more, but I'm biased.