Each different area of the Depths is secured and only accessible via a Key, these Keys can be gained via quests from the various NPC’s you encounter on your travels.
Four Areas will be accessible from Underfjord (the starting town), each area is color coded and you will need that key to access that area.
As you progress further through the dungeon you may come across other locked areas that will need that colored key to access … in addition perhaps a door or two that requires a control crystal to operate.
After the first four dungeons are completed you will be able to access another town and so on ….