Dig to the depth you need, first. Depth should be based on storage capacity you want, depending on your water source. If you're pumping from the river, or have a well, depth isn't as important. If you depend strictly on runoff from rainfall, you'll need enough depth the pond won't go dry. Compare average annual rainfall to evaporation rates. That determines depth.
Then, be sure to line the bottom of the pond with at least 12" of heavily compacted clay, preferably 18" so animal hooves won't penetrate through your clay layer.
