It depends on the engine and the depth. Gains are bigger for low depths. I can't give you exacts numbers but going from depth 1 to depth 2 may well be worth 200 points while at high depths it could be <50.
chess engine depth elo

This is a good question. Several early chess programs tried to make different "levels" by limiting the amount of time or ply the computer could think. Turns out, there's no direct correlation between ply and playing strength. There are some positions where humans will always be able to find the right move even if a computer would need dozens of ply to work it out. And there are some positions where many humans could not work out a mate in 3 (six ply).
So in the end, programmers tried other methods to make different playing levels. They include reducing the piece valuation, removing subtleties such as how much the d-file is worth compared to the a-file, and so on. Even that has had very limited success though.
Strong players don't just see more deeply than weaker players, they evaluate the positions differently too!
The program that I've seen that does the best job of creating different playing levels that truly are different is ChessMaster.
Anyone knows if there is a relationship between a chess engine and this elo? 1 depth 1400, 2 <->1700 or something like that?