iPhone X iOS 16 Depth Effect

This is not an available option for iPhone X. The phones which support Depth Effect are the following:

• iPhone XR, XS, and XS Max
• iPhone 11, 11 Pro, 11 Pro Max, and SE (gen 2)
• iPhone 12, 12 Plus, 12 Mini, 12 Pro, and 12 Pro Max
• iPhone 13, 13 Plus, 13 mini, 13 Pro, 13 Pro Max, and SE (gen 3)
• iPhone 14, 14 Plus, 14 Pro, and 14 Pro Max.

Taken from the linked below Apple Support Article on Customizing your Lock Screen is the following statement:

1. If you choose Photos and want to create a multilayered effect, tap  at the bottom right, then choose Depth Effect.
2. Note: This option may not be available for all photos. Layering is not available on wallpapers with widgets. The multilayered effect is available on supported models. Layering is available only on images with people, pets, or the sky, and isn’t available on every image in those categories. Layering may not be available if the subject is too high, too low, or obscures too much of the clock.

Personalize your iPhone Lock Screen - Apple Support

The takeaway is you have likely chosen a photo Depth Effect won't work with.

iPhone 11 Pro here on iOS 16.

Depth Effect is also grayed out for me when creating a new lock screen.

Please, advise.