In this article, we propose a robust depth control design scheme for autonomous underwater vehicles (AUVs) in the presence of hydrodynamic parameter uncertainties and disturbances. The controller is designed via a new indirect robust control method that handles the uncertainties by formulating the uncertainty bounds into the cost functional and then transforming the robust control problem into an equivalent optimal control problem. Both robust asymptotic stability and optimality can be achieved and proved with this new formulation. The theta-D method is utilised to solve the resultant nonlinear optimal control problem such that an approximate closed-form feedback controller can be obtained and thus is easy to implement onboard without intensive computation load. Simulation results demonstrate that robust depth control is accomplished under the system parameter uncertainties and disturbances with small control fin deflection requirement.