what do players mean if they are saying the club needs more squad deph

squad depth means how (or how many) good players you have on the bench/in reserves.

So, for example, if you have the best 11 players in the world starting, but only sh*t players on the bench, the sqad depth isn't good. This means that if you have a few players injured, you're screwed.

But if you got world class starters and world class subs, then it doesn't matter if a few of your players get injured/suspended.