How to create depth in this rectangular zentangle drawing? My aim was to create a kind of photo frame. That frame has a thin outer board attached to it and inside we can put photos.
The outer thin board on borders is fat and that creates a kind of depth that shows that we are looking in the frame.
Example:

Why is my drawing not having this depth and what can be done to achieve that?
Please show with diagrams.
You can use shading.
As light naturally comes from above, the most logical approach to create a sense of depth is to add shadows to receding areas based on an imaginary light source straight above it, like this:

Also note that the frame you are referring to has a lot of relief that similarly obscures and catches light, which has a huge effect on a sense of 3-dimensionality.
This you can likewise easily simulate by shading the decorative patterns, like this:

Because your drawing seems to have been done in pen, you can - depending on the paper - add these shadows using a large variety of mediums, from pencils to paints, with charcoal being the easiest and quickest way.