I also think this is a very important aspect of this sort of game. Depth is a very puzzling issue that needs to be addressed with some sort of map feature as Darren suggested. Perhaps you could switch from a 2D map to a 3D map. Idk, maybe that’s too much effort to put into a map or compass item, but exploration is gonna be a very prevalent feature of the game as I understand it, exploring other people’s worlds through teleporters and what not.
Perhaps you could make two different craftable items for depth and map/navigation, like a depth indicator sort of tool and a regular map/compass. But a 3D map that could rotate and pan to see where you have been would be my choice. It doesnt have to be super-fancy, just detailed enough to distinguish between open space on the surface and underground and blocks of terrain or stone in caves/mine shafts.