In this paper, the depth control for a robotic dolphin is considered. The structure of the robotic dolphin is firstly designed based on the analysis of stable conditions on the motions of biological fish and dolphins. Our pitching motion analysis indicates that the movement distance of balance weight can be employed for depth control. Considering the nonlinear model in depth control and the volume variation of the rubber skin due to water pressure, a fuzzy PED controller is proposed to realize the depth control. Fuzzy controller 1 is utilized to compensate for the big error with fast response. To eliminate steady-state error caused by buoyancy change, fuzzy controller 2 and an accumulator are activated by the intelligent switch when necessary. The experimental results verify the effectiveness of the proposed controller.