When you get message your "Depot" is full what are they referring to?

Depots are the storage buildings for each type of resource that you make in your city and can raid from other players. Food goes to the Granary, Wood to the Lumber Warehouse, Fuel to the Oil storage tanks, Iron to the Iron Warehouse and Water to the Water tank.

When the storage cap is reached you wont be able to generate or raid more of that resource. Upgrade the relevant storage building(s) to increase the storage cap. In each case you will be able to build up to 3 of each building but you can only build the next one once the current one is completed (Level 10).