From the Maya docs..

To create a Depth file
Turn on Depth Channel (Z Depth) in the Render Settings window.
Open the renderable camera's Attribute Editor in which you want to create a depth file.

Select View > Camera Attribute Editor from the current view. See View > Camera Attribute Editor.
In the camera's Attribute Editor, select a Depth Type from the Output Settings section (Closest or Furthest Visible Depth).
To view depth channels
View the animation file using FCheck.

See the Overview of FCheck in the Rendering Utilities guide for information on FCheck.
Press z to see the depth channel.

FCheck does not let you view the z-depth data of an .IFF file. To view z-depth data, use a non .IFF file format and then view the z-depth data stored in the separate file.

If the output format is not IFF or RLA, Maya writes a separate depth file containing a black RGBA image with depth values.