These are new depot graphics that replace the traditional, brick style depots of the TTD.
In the top screenshot you can see there are "closed" and "open" doors. In version 2.0 there are only "open" doors and these just like the default TTD depot entrances. In version 2.1 there are closed doors also. These are purely aesthetic and serve no purpose at all. They will NOT open or allow trains to pass through.
These depots are for both TTDP and OTTD. To create a depot complex like the one pictured above you need to build it depot by depot. There is no other way. Please note that trains can be built in all parts of the depot but can only exit out of ones that are linked to track.
Download Version 2.0 (windows only)
Download Version 2.1 (windows only)