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Changes in abundance across a natural environmental gradient provide important insights into a species' realized ecological niche. In reef-building corals, a species' niche is often defined using its depth range. However, most reef-building coral species occur over a broad depth range, a fact that is incompatible with the strong zonation found in coral assemblages across depth. We resolve this paradox by modeling the abundance distributions of 110 coral species across a 45 m depth gradient to show that most are in fact depth specialists and reveal that depth range alone is incapable of capturing a species' depth use. We then highlight the significance of our results by demonstrating how depth range greatly overestimates the potential number of species with a refuge at depth from global warming. Our findings illustrate both the limitations of the simple metric of depth range and the ecological insights that can be gained by moving beyond it.