Natural refuges can play a fundamental role in protecting species from overexploitation but have not been adequately quantified in the marine environment. We quantified the effect of a depth refuge on all fish species in an artisanal coral reef fishery in Zanzibar, Tanzania by comparing changes in fish species richness and relative abundance with depth at five fished and three unfished reefs across the region. Commercial species richness was depleted by 15.1% at shallow depths in fished reefs, but there was no difference between the reefs deeper than seven metres. Non-commercial species were not affected by fishing or depth. Evidence for similar patterns in fish communities in other countries and depth-limitations to artisanal fishing methods imply this effect is widespread. The depth refuge effect could be sustaining coral reef fisheries and should be taken in to account before implementing policies or subsidies that encourage or allow fisheries to exploit deeper waters.