There has been much research concerning visual depth perception in 3D stereoscopic displays and, to a lesser extent, auditory depth perception in 3D spatial sound systems. With 3D sound systems now available in a number of different forms, there is increasing interest in the integration of 3D sound systems with 3D displays. It therefore seems timely to review key concepts and results concerning depth perception in such display systems. We first present overviews of both visual and auditory depth perception, before focussing on cross-modal effects in audio-visual depth perception, which may be of direct interest to display and content designers.