Linux has more depth because it gives you more power. This can be intimidating but it's also a boon - if you want to change or fix something, you probably can.

I went the trial by fire approach and started with Gentoo, which makes you install everything from scratch, mostly manually, from the command line. It worked out well for me since I learned a lot, but you can also go the exact opposite route and use something like Ubuntu, picking up "power user" skills at your leisure.