For $G$ a finitely generated group and $g in G$, we say $g$ is detected by a normal subgroup $N lhd G$ if $g otin N$. The depth $D_G(g)$ of $g$ is the lowest index of a normal, finite index subgroup $N$ that detects $g$. In this paper we study the expected depth, $mathbb E[D_G(X_n)]$, where $X_n$ is a random walk on $G$. We give several criteria that imply that $$mathbb E[D_G(X_n)] xrightarrow[nto infty]{} 2 + sum_{k geq 2}frac{1}{[G:Lambda_k]}, ,$$ where $Lambda_k$ is the intersection of all normal subgroups of index at most $k$. In particular, the equality holds in the class of all nilpotent groups and in the class of all linear groups satisfying Kazhdan Property $(T)$. We explain how the right-hand side above appears as a natural limit and also give an example where the convergence does not hold.
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