The perceived depth accuracy is a fundamental performance metrics for an augmented reality display system. Many factors may affect the perceived depth of a head-mounted display (HMD), such as display resolution, interpupillary distance (IPD), conflicting depth cues, stereoacuity, and head tracking error. Besides these typical limiting factors to an HMD-type system, the perceived depth through a head-mounted projection display (HMPD) may be further affected by the usage of a retroreflective screen. In this paper, we will evaluate the perceived depth accuracy of an HMPD system using a perceptual depth matching method. The main factor to be investigated in our study is the position of a retroreflective screen relative to the projection image plane, with the projection image plane placed at different distances to the user. Overall, it is found that the ratio of the judged distance to real distance and the standard deviation of the judged distance increase linearly with the reference object distance. A transition effect from depth underestimation to overestimation has been observed at the reference object distance of around 1.4m. The position of a retroreflective screen only has a significant effect on the depth judgment error around this switching point. The paper also analyzes various effects brought by a retroreflective screen on the depth judgment. The depth cue and the image luminance reduction brought by a retroreflective screen could be the main factors that affect the depth judgment accuracy.