Dr. Strange has yet to appear in a live action Marvel film, but studio president Kevin Feige confirmed Strange would appear in the movie universe during "Phase Three," meaning post-Avengers 2. Faige later revealed Strange would get his own film.
As Latino Review notes, Depp has a good working relationship with Marvel Studios' parent company, Disney. Although The Lone Ranger was a bomb, Depp helped make the company billions with the Pirates of the Caribbean series - which he has already signed on to continue.
Honestly, I can't imagine a better role for Depp: ridiculous costumes, magic, and The Occult? That's right up his alley. Unfortunately, movies are a business - even if both sides are interested, a deal still needs to be done before we get to see Dr. Strange.