Do crawlers only index pages to a certain depth?

When we are analyzing Crawl data vs Logs data (ie how GoogleBot behaves) we see that GG usually stops after reaching depth 5 or 6 when your internal link structure is not optimized. Check this screenshot of Crawled page by Google vs Availble pages on your website by page depth. This graph is a common case : You can check our Log analyzer if you want here: http://www.oncrawl.com/seo-log-analyzer/

It might, but you will have to provide additional links to those URLs so that search engine crawlers have more incentives to go there and index them. (HTML sitemaps, shrewd internal linking etc.) In general, crawlers do think of the depth level of the page as a certain marker of that page's importance, but there are hundreds of other signs that search engines take into account, so if it is too difficult for you to reconsider your URL structure now, just go for smart HTML sitemaps and internal linking. Here you can find some useful info on this topic http://blog.promodo.com/fast-site-indexing-how-to-speed-up-indexing-of-a-large-content-project and some useful things here  http://blog.promodo.com/seo-for-developers

It has to do with site architecture (internal links) and inbound links from other sites. It's also recommended you don't go more than 3 levels deep.