Why it matters
The Yandex crawler follows links, and Webmaster Help says that the deeper a page is, the longer it may take to be included in the index. Readers are also less likely to find a deeply buried page.
Depth and URL are not the same
Depth is measured by clicks, not by the number of folders in the URL. The address /blog/statya may be five clicks deep if the article is accessible only through blog pagination. Conversely, a page with a long URL may be two clicks away if the home page links to it.
How to check your site
A crawler such as Screaming Frog SEO Spider shows the click depth from the home page for each page. Important pages that end up deep should be brought closer to the surface with contextual links from related content, links from sections, or links from the menu.