Depth in a game is almost always good. I cannot think of any examples of when it is bad.

Complexity can be good or really really really bad. Depending on its implementation.

If it is complex for the sake of being complex and it is not needed. Such as the original party invite system in XIV 1.0 yea not good. (never seen an issues with 2nd one they added... was simple to use just no one used it)

If something is complex such a boss fight where you have to juggle many things at once, the fight becomes very complex and mentally draining. This can actually be a good thing if done right.

Over simplicity often leads to real boredom.