This paper investigated the machinability of a stone–plastic composite (SPC) via orthogonal cutting with diamond cutters. The objective was to determine the effect of cutting depth on its machinability, including cutting forces, heat, chip formation, and cutting quality. Increased cutting depth promoted an increase in both frictional and normal forces, and also had a strong influence on the change in normal force. The cutting temperatures of chips and tool edges showed an increasing trend as cutting depth increased. However, the cutting heat was primarily absorbed by chips, with the balance accumulating in the cutting edge. During chip formation, the highest von Mises strain was mainly found in SPC ahead of the cutting edge, and the SPC to be removed partially passed its elastic limit, eventually forming chips with different shapes. Furthermore, the average surface roughness and the mean peak-to-valley height of machined surfaces all positively correlated to an increase in cutting depth. Finally, with an increase in cutting depth, the chip shape changed from tubular, to ribbon, to arc, to segmental, and finally, to helical chips. This evolution in chip shape reduced the fluctuation in cutting force, improving cutting stability and cutting quality.