I'm on Maya 8 unlimited......so this is how I got a Zdepth channel (might be different for 7 or 6)

As a simple test just create a sphere, & duplicate it in a line of around 20 spheres.
Create your camera. Position it infront of the 1st sphere but also be able to see the rest of the spheres.


-Set your project for the scene.
-Go to RenderGlobals>Renderable Cameras>enable "Depth channel (Z depth)"
-Also set the "Renderable Camera" to the camera you will be rendering.
-Go to RenderGlobals>Mental Ray Tab>Custom Entities> Enable "Pass custom depth channel"
-Go Render>Batch Render options>(set the # of threads) & click "Batch Render".
-Open the "Script Editor".
-Look at the script editor for the progress of the render & also note where the file has been rendered to.
-Open Fcheck>Load the image
-Hit "Z" to view the Z depth channel. (it should show a gradient of white to gray values.) Hit "C" to view color, Hit "A" to view alpha.


Hope this helps....
Fess