I currently mostly watch Magi (I don't read it, yes… tell me I'm a horrible person and make fun of me) but... I honestly don't see a big gap in the depth/complexity of Magi and One Piece. One Piece just has a REALLY imaginative world and a lot of great whimsy.
I think the main difference honestly comes down to the fact that One Piece's scope is just so much bigger and more elaborate as a result. It feels like a real world since it has so many different characters who are all parts of very different groups with different interests, and whose interactions basically give the story its framework. And One Piece also feels fluid in the sense that everything seems to be interconnected and not happening in a vacuum or in a very small space with only a limited amount of players.
Magi is telling a much smaller story, and is cutting many corners in a way that just makes it feel not as deep as something else. It works well in its own context, but it's nowhere near One Piece levels of storytelling.