Deep Isn't Necessarily Interesting
Emotional pain is just one of many ways to give depth to a line of NPC dialogue. Depth, however, isn't necessarily interesting.
Let's say you're playing a WWII game. You're an American soldier in France, entering a destroyed town from which the Germans just fled. You walk up to a distraught young woman and have this interchange:
YOU: Where did the Germans keep their munitions? The woman doesn't even look at you. She's in shock as she points to some burnt-out rubble. WOMAN: That used to be a church. I had a two-year old son, Michael, who was baptized there. The Germans killed him, and now I feel very sad. She breaks down and sobs.
Deep? Yes, for emotional pain gives a character depth. But is this woman interesting? No. Her dialogue is flat and over-obvious, or, as screenwriters say, it is "on the nose."
Take another look at the interchange; this time it has been made deep and interesting:
YOU: Where did the Germans keep their munitions? The woman doesn't even look at you. She's in shock as she points to some burnt-out rubble. WOMAN: My son Michael -- he was baptized in that church. She breaks down and sobs.
The fact that "depth" isn't in and of itself necessarily "interesting" applies to all the categories of "deepening" that have been discussed, not just dialogue.
By the way, you probably noticed that, in both examples, the woman didn't answer the question. That was intentional. To get the answer to your question, you may need to ask her again. Or you may have to ask another character, one who isn't as emotionally devastated.