A plasma depletion layer (PDL) of reduced plasma density and enhanced magnetic field strength can form in the magnetosheath (shocked solar wind) adjacent to the magnetopause boundary of a planetary magnetosphere. The dominant factor controlling the level of plasma depletion and field enhancement in Earth's PDL is the magnetic shear across the magnetopause, due to the influence of this parameter on magnetic reconnection at the boundary. Here we examine the PDL in Saturn's magnetosheath using Cassini spacecraft observations. For most Cassini magnetosheath intervals analyzed, there is some level of both plasma depletion and magnetic field enhancement approaching Saturn's magnetopause, consistent with the presence of a PDL. We find some evidence that the Saturnian PDL responds to the solar wind dynamic pressure, in the same sense as Earth's PDL. However, we find no evidence for a response of Saturn's PDL to the magnetic shear across the magnetopause, in contrast with the terrestrial case. Our results thus suggest that the rate of magnetic flux transport due to reconnection at Saturn's magnetopause is generally small in comparison to the rate of magnetic flux advection by the solar wind and are consistent with the expectation that conditions at Saturn's magnetopause are less favorable for magnetopause reconnection than those at Earth's magnetopause.