Presently the Qattara depression in Egypt is the only depression terrain on the map. I'm always sceptical when people try to make out that a certain kind of terrain is the only example of that terrain in the world (see also: Bocage). I think it may simply be a case of there never having been modern battles which turned on the terrain being difficult/impossible to pass in the "depression" terrain elsewhere in the world.
To quote Wiki:
It was considered impassable by tanks and most other military vehicles because of features such as salt lakes, high cliffs and/or escarpments, and fech fech (very fine powdered sand). The cliffs in particular acted as an edge of the El Alamein battlefield, which meant the British Empire's forces could not be outflanked to the south.
The Qattara Depression is basically a basin area that is marshy and has salt-pans. There are actually a number of other areas like this in the world, some of which are currently modelled as deserts and/or marshy terrain.
Places I think could also be "depression" terrain:
- Death Valley, California: whilst obviously quite flat, this is both a depression in the scientific sense, and the temperature there is so hot that it is really impossible to see how large-scale military manoeuvres could ever be carried out there.
- Great Salt Lake Desert, Utah: it's a dried-up lake bed that is infernally hot and muddy in places and it seems like it should be a candidate. OK, so it is crossed by a road (Interstate 80) but this is on a causeway for a lot of its length. It is also home to a live-firing range, but this just highlights how inhospitable it is. And, yes, it is home to the Bonneville speedway which seems the opposite of impassable - until you realise it's flooded for part of the year.
- The Grand Canyon, Nevada: I think the high cliffs of the canyon alone should make this a "depression". Can you imagine a tank division trying to cross it North-South?
- Chott el Djerid, Tunisia: This acted in the same way on the British attack on the Mareth line in 1943 that the Qattara depression did on the German attack at El Alamein.
- Okavango Basin, Namibia: a giant basin in Southern Africa similar to the ones discussed above.
Obviously since "depression" terrain is impassable you don't want to over-do it an make large parts of the map inaccessible, but I think the above areas could be without doing too much harm. Making the Chott El Djerid impassable especially would make a Tunisian redoubt easier to hold.
American Front: a Work-in-progress CSA v USA Turtledove mod for SC:WW1 can be seen here.