Energy and environmental stability are positively correlated with species richness along broad‐scale spatial gradients in terrestrial ecosystems, so their relative importance in generating and preserving diversity cannot be readily disentangled. This study seeks to exploit the negative correlation between energy and stability along the oceanic depth gradient to better understand their relative contribution in shaping broadscale biodiversity patterns. We develop a conceptual framework by simulating speciation and extinction along energy and stability gradients to generate expected patterns of biodiversity for a suite of complementary phylogenetic diversity metrics. Using a time‐calibrated molecular phylogeny for New Zealand marine ray‐finned fishes and a replicated community ecological sampling design, we then modelled these metrics along large‐scale depth and latitude gradients. Our results indicate that energy‐rich shallow waters may be an engine of diversity for percomorphs, but also suggest that recent speciation occurs in ancient fish lineages in the deep sea, hence questioning the role of energy as a key driver of speciation. Despite potentially facing high extinction early in their evolution, ancient phylogenetic lineages specialized for the deep‐sea were likely preserved by environmental stability during the Cenozoic. Furthermore, intermediate depths might be a ‘museum’ (or zone of overlap) for distinct lineages that occur predominantly in either shallow or deep‐sea waters. These intermediate depths (500–900 m) may form a ‘phylogenetic diversity bank’, perhaps providing a refuge during ancient (Mesozoic) extreme anoxic events affecting the deep sea and more recent (Pliocene–Pleistocene) climatic events occurring in shallow ecosystems. Finally, the phylogenetic structures observed in fish communities at intermediate depths suggest other processes might restrict the co‐occurrence of closely related species. Overall, by combining a conceptual framework with models of empirical phylogenetic diversity patterns, our study paves the way for understanding the determinants of biodiversity across the largest habitat on earth.