In the modelling of hydrological processes on a regional scale, remote-sensing snow depth products with a high spatial and temporal resolution are essential for climate change studies and for scientific decision-making by management. The existing snow depth products have low spatial resolution and are mostly applicable to large-scale studies; however, they are insufficiently accurate for the estimation of snow depth on a regional scale, especially in shallow snow areas and mountainous regions. In this study, we coupled SSM/I, SSMIS, and AMSR2 passive microwave brightness temperature data and MODIS, TM, and Landsat 8 OLI fractional snow cover area (fSCA) data, based on Python, with 30 m spatially resolved fractional snow cover area (fSCA) data obtained by the spatio-temporal dynamic warping algorithm to invert the low-resolution passive microwave snow depths, and we developed a spatially downscaled snow depth inversion method suitable for the Turpan–Hami region. However, due to the long data-processing time and the insufficient arithmetical power of the hardware, this study had to set the spatial resolution of the result output to 250 m. As a result, a day-by-day 250 m spatial resolution snow depth dataset for 20 hydrological years (1 August 2000–31 July 2020) was generated, and the accuracy was evaluated using the measured snow depth data from the meteorological stations, with the results of r = 0.836 (p ≤ 0.01), MAE = 1.496 cm, and RMSE = 2.597 cm, which are relatively reliable and more applicable to the Turpan–Hami area. Based on the spatially downscaled snow depth data produced, this study found that the snow in the Turpan–Hami area is mainly distributed in the northern part of Turpan (Bogda Mountain), the northwestern part of Hami (Barkun Autonomous Prefecture), and the central part of the area (North Tianshan Mountain, Barkun Mountain, and Harlik Mountain). The average annual snow depth in the Turpan–Hami area is only 0.89 cm, and the average annual snow depth increases with elevation, in line with the obvious law of vertical progression. The annual mean snow depth in the Turpan–Hami area showed a “fluctuating decreasing” trend with a rate of 0.01 cm·a−1 over the 20 hydrological years in the Turpan–Hami area. Overall, the spatially downscaled snow depth inversion algorithm developed in this study not only solves the problem of coarse spatial resolution of microwave brightness temperature data and the difficulty of obtaining accurate shallow snow depth but also solves the problem of estimating the shallow snow depth on a regional scale, which is of great significance for gaining a further understanding of the snow accumulation information in the Tuha region and for promoting the investigation and management of water resources in arid zones.