Camouflaged object detection (COD) aims to segment camouflaged objects hiding in the environment, which is challenging due to the similar appearance of camouflaged objects and their surroundings. Research in biology suggests depth can provide useful object localization cues for camouflaged object discovery. In this paper, we study the depth contribution for camouflaged object detection, where the depth maps are generated with existing monocular depth estimation (MDE) methods. Due to the domain gap between the MDE dataset and our COD dataset, the generated depth maps are not accurate enough to be directly used. We then introduce two solutions to avoid the noisy depth maps from dominating the training process. Firstly, we present an auxiliary depth estimation branch ("ADE"), aiming to regress the depth maps. We find that "ADE" is especially necessary for our "generated depth" scenario. Secondly, we introduce a multi-modal confidence-aware loss function via a generative adversarial network to weigh the contribution of depth for camouflaged object detection. Our extensive experiments on various camouflaged object detection datasets explain that the existing "sensor depth" based RGB-D segmentation techniques work poorly with "generated depth", and our proposed two solutions work cooperatively, achieving effective depth contribution exploration for camouflaged object detection.