If it's coming from the rear that's puzzling, however if it's coming from inside your head that's normal. When we describe depth in sound it is never completely outside the head unless it's a binaural recording.
Let's take for example my HD600 and SR225. The latter has strong Left, Center, and Right signals, somewhat recessed between L-C and C-R, unless I wear it with the driver a little forward off-center from my ear canal. On the HD600, I wear it in a somewhat similar fashion - I put it on with the driver directly on top of the ear canal, then push it a little bit forward, just short of bending my earlobes forward (your earlobe size may vary enough that we won't line up with each others ear canals). Worn this way vocals are definitely inside my head, but a little to the front of the forehead. Other instruments are distributed behind and around it, but it varies with some sources, sometimes throwing more money at it can be detrimental to their natural positions relative to each other. Here are a couple of diagrams I've used in other threads (triangle - vocals; round/elliptical - percussion; rectangular - guitars; keyboard and symphony/quartet not included* for simplicity but usually behind and to the right of the drums)
Fig. I : Meier Cantate.2 (USB input) >> HD600
Notice how placement of instruments are in natural positions relative to each other; Cayin CD50T moves everything back a little bit, but mostly just makes each sound source more precise
Fig II : Marantz CD500x >> Meier Cantate.2 / Burson Soloist >> HD600
Note how the soundstage is all screwed up - Reed Richards just joined Dream Theater while Sue Richards suspends his drums around the audience (you) and shows off his stretchy arm drummer skillz
Fig III : Meier Cantate.2 (USB input) >> Audezee LCD-2 Rev.2
Note how this is very similar to the HD600, but all moved a little bit further back, but not by much; some notes from the toms didn't move back with the rest of the drum set.
As in the diagram above, a more expensive source does not necessarily translate to a more natural soundstage on a headphone, because that same Marantz ($400?)didn't have any issues when I tried it with a speaker system (I totally forgot to try its headphone output though). The Cambridge 3xxC ($350?) also had a similar issue - most of the percussion were in normal positions, though not that far behind the vocals, but the bass drum was in front of the vocals. In terms of tonal qualities the Rega Apollo still did worse than the Meier amp's USB DAC, being too warm. Among CDPs I tried the Cayins (CD50T, CDT23) worked well, and so did the Arcam CD72 and Shanling T200. All of these however are over $1,000.
Other than maybe your source units and headphones (or the amp not being transparent enough and adding too much of some frequencies), the lack of 3D soundstage may be in the recordings themselves. All those I used for the diagrams are metal bands, progressive or some kind of metal that uses instruments from a symphony (also tested pure classical symphonies but I was too lazy to do the diagrams, not to mention people would be more familiar with a four-piece modern band). In one example, there are parts of hard metal guitar riffs-driven parts then suddenly stops and the symphony plays a few notes (probably just the synth in a typical live show) in Epica's "Unleashed." When the symphony does this the first time, they occupy a wide swath behind and to the right of the where the drums are. When they do it again a few seconds later, the tone is higher and only occupies the right side of what it used to, indicating only the strings. On the third time, the tone is very deep and indeed sounds brassy, indicating the brass section, and only occupies the left side of what they did in the first. So likely in the recording the brass and strings were lined up left to right just ahead (behind, relative to the listener) of the right channel microphone. This isn't the best example of depth in the recording but a good balance of depth and width, especially for a non-acoustic recording (and in any case, technically the symphony instruments are acoustic).
If you have any local car audio clubs in your area or if you can get them some other (now illegal in my area) way, try to get a hold of test CDs used for car audio competitions or system set-ups. Focal's #2 disc is one example, but check any labelled/used by the EMMA or IASCA (not the bass-test disc). They have recordings there that have one guy discussing soundstage depth and how it is done, with him walking around a microphone to illustrate how this is done in the studio. If the sound isn't moving as he described it should, then there's something lacking in the system's performance. If it moves totally the opposite then there's something really wrong with one of the components. Even in my car his voice can seem to come from beyond the windshield.
*For recordings that have a string section or orchestra backing up the metal band
Edited by ProtegeManiac - 4/17/14 at 1:24am