As the depth increases the mass of the earth decreses. If we consider the density of earth to be uniform the mass of the earth at some radius 'R' should be equal to 4/3πR^3 into the density. If we substitute this mass in the formula which give acceleration due to gravity which is GM/R^2 the factor of R^2 gets cancelled. Giving us acceleration due to gravity equal to 4/3πR*(density). At the surface of the earth this value will be maximum because R will be max. When R becomes less ( i.e when depth increases) this value also decreases. Hence, acceleration due to gravity decreases with increase in depth.