To integrate structural subsurface models and smooth seismic velocity models, they need to share common features and resolutions. Here, we propose a new approach, Depth Assessment from Rayleigh Wave Ellipticities (DARE), for estimating the depth of sudden velocity changes from ambient‐noise multi‐mode Rayleigh waves applicable to a wide range of frequencies. At frequencies where multi‐mode Rayleigh waves have an extremum in ellipticity, the phase velocity can be used to estimate the depth of sudden velocity changes. We test our approach theoretically, numerically, and on real data from two geothermal sites by extracting Rayleigh wave ellipticities and phase velocities from three‐component beamforming of ambient noise using the python code package B3AMpy. For a small‐scale array, our approach validates the depth of quaternary sediments predicted by geological models. For deeper velocity changes, high uncertainties remain but the general trend of inclining boundaries can be recovered well. We demonstrate that, if impedance contrasts are larger than three, our approach is valid for multiple layers, laterally heterogeneous models, and a wide range of Poisson ratios.