Statistical depth functions have become increasingly used in
nonparametric inference for multivariate data. Here the contours of such
functions are studied. Structural properties of the regions enclosed by
contours, such as affine equivariance, nestedness, connectedness and
compactness, and almost sure convergence results for sample depth contours, are
established. Also, specialized results are established for some popular depth
functions, includinghalfspace depth, and for the case of elliptical
distributions. Finally, some needed foundational results on almost sure
convergence of sample depth functions are provided.