Although there is an increasing interest in employing the depth data in computer vision applications, the spatial resolution of depth maps is still limited compared with typical visible-light images. A novel method is proposed to synthetically improve the spatial resolution of a single depth image. It integrates the higher-order terms into the Markov random field (MRF) formulation of example-based methods in order to improve the representational power of those methods. The inference is performed by approximately minimising the higher-order multi-label MRF energies. In addition, to improve the efficiency of the inference algorithm, a hierarchical scheme on the number of MRF states is proposed. First, a large number of states are used to obtain an initial labelling by solving the minimisation problem of inference for only the first-order energies. Then, the problem is solved for the higher-order energies in a smaller number of states. Performance comparisons show that proposed method improves the results of first-order approaches that are based on simple four-connected MRF graph structure, both qualitatively and quantitatively.