Vibrational sum-frequency generation (SFG) has become a dominant technique in the study of molecular interfaces owing to its capabilities for molecular recognition and specificity to anisotropic structure. Nevertheless, one crucial and influential aspect of the interfacial structure, namely, its inherent threedimensional, depth-dependent nature, cannot be obtained through conventional SFG measurements. Furthermore, not only has this depth information been so far experimentally inaccessible through SFG, the simple existence of extended anisotropic depth also complicates the analysis and interpretation of any obtained spectra.In this Perspective, we analyze the role of depth-dependent structural anisotropy in second-order vibrational spectroscopy and explore various possibilities for how the desired depth information can be experimentally attained. Using aqueous interfaces as an important and widespread example system, we highlight the prevalence of such spatially extended depth profiles, demonstrate how signals from these regions can cause significant spectral distortions, and show the entanglement between experimental parameters with the overall nonlinear response. Finally, we evaluate recently developed measurement concepts that can yield depth information, emphasizing their particular strengths, and provide an outlook for future studies employing these methodologies for the vital elucidation of depth-dependent interfacial structure.