Giving your setting depth is actually an easy process and it simply relies on your use of senses. Let's say that you are setting your story in a small town. When we think of a small town, there are a lot of images that come into play. Consider:
- The size of the streets
- The types of shops you might see along the side of the road
- The types of cars that drive down the road
- The type of people that you would likely see in the town.
Here is Onaga, Kansas...
And here is Morton, Washington
Both are small towns but you can see the feel is really different.
You can also practice this activity by thinking of how you would describe a holiday setting in your home. It is not just about the crowds of people, but the smell of the food mingling with the smell of cologne and perfume. Maybe the temperature of the room, the textures of the furniture and walls and so forth. Now add in the "feel of the room." This would be the energy and the excitement of the people. Is there tension between Uncle George and Cousin Kenny over the behaviors of one of the kids? Bring this all out.
The key here is to use that mantra we have all heard over and over again. SHOW don't TELL. Don't just have your characters talk in a blank space. Give them a world. They deserve it!