Hello 10thattemptatusername,
Welcome to Apple Support Communities. You can find the steps to enable the Depth Effect feature when customizing your Lock Screen in the related article: Change the wallpaper on your iPhone - Apple Support
Customize a Lock Screen wallpaper with filters, widgets, and styles
1.In the Settings app, tap Wallpaper.
2.Under the preview of your Lock Screen, tap Customize.
3.Tap Customize Current Wallpaper or Add New Wallpaper and select a wallpaper.
4.Before you tap Done on the wallpaper, make your customizations.
To select wallpaper options, tap the More button. Perspective Zoom moves the wallpaper as you tilt your screen. Depth Effect enables layering with the subject of your photo.
Now keep in mind, you can only add this feature on wallpapers that do not have widgets.
Let us know if you have any questions.
Cheers!