In every common town.
Depots are a tool in the game, so that you can store items in a safe place while not using them. That is useful so that you don't run out of capacity at inappropriate times or by any chance die and lose most of your things.
There is a depot located in every town except Rookgaard. Fibula, Senja and Cormaya do not have depots. They are parts of Thais, Carlin and Edron, respectively. To use your depot box, simply go to the depot and open any of the many depot boxes.
You can send items and letters to your or another character's depot. For more information on that, check the Sending Parcels article.
There is a maximum amount of items each town depot can handle, and that limit is of 1000 items for free account players, and of 2000 items for premium account players. Of course, you can always parcel the items you want to a different city if a town's depot is full. You will still receive parcels when your depot is full, but you won't have access to them until you remove some items.
When the depot is full (more than 1000 items for free accounts, and 2000 items for premium accounts), the following message appears in green:
Your depot is full. Remove surplus items before storing new ones.
Also if you fill up the locker with 29 items, besides the depot chest, you cannot add more in it unless you remove items, or put some in another container. If a letter or parcel is sent, it will be there but hidden from view and use until items are displaced to make room. See this tip for storage ideas.
Amount of depot boxes in every town: