I think you just have to take a look at the Silmarillion to see the extend Tolkien went to write the Lore, in addition to the appendices of Return of the king.
TES isn't shallow but it's no where near as deep as LoTR.
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I have read the Silmarillion, but taking into consideration the Obscure Texts and MK's work, I feel TES is more expansive.
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Well I guess that is your Opinion, both works are deep though, and beat each other out in different aspects. so I don't think there's really a clear cut answer to which one goes deeper unless you have the time to deeply study both. as it stands though, LoTR just feels like a more, natural Universe (for lack of a better word)