Dependently typed languages such as Coq are used to specify and verify the full functional correctness of source programs. Type-preserving compilation can be used to preserve these specifications and proofs of correctness through compilation into the generated target-language programs. Unfortunately, type-preserving compilation of dependent types is hard. In essence, the problem is that dependent type systems are designed around high-level compositional abstractions to decide type checking, but compilation interferes with the type-system rules for reasoning about run-time terms. We develop a type-preserving closure-conversion translation from the Calculus of Constructions (CC) with strong dependent pairs ($Sigma$ types)---a subset of the core language of Coq---to a type-safe, dependently typed compiler intermediate language named CC-CC. The central challenge in this work is how to translate the source type-system rules for reasoning about functions into target type-system rules for reasoning about closures. To justify these rules, we prove soundness of CC-CC by giving a model in CC. In addition to type preservation, we prove correctness of separate compilation.