it is possible by using material events and for one view you only render the objexts with a greyscale depending on the depth.

this could look like:

Code:

---

struct VS_IN
{
	float4 position : POSITION;
};

struct VS_OUT
{
	float4 position : POSITION;
	float  depth    : TEXCOORD0;
};

float front = 100;
float back = 300;


VS_OUT mainVS (VS_IN In)
{
	VS_OUT Out;
	Out.position = mul(In.position, matWorldViewProj);
	Out.depth = ((Out.position.z - back)/1000) * ((Out.position.z - front)/1000);
	return Out;
}

float4 mainPS (VS_OUT In) : COLOR0
{
	return In.depth;
}

technique depth
{
	pass p0
	{
		VertexShader = compile vs_2_0 mainVS();
		PixelShader = compile ps_2_0 mainPS();
	}
}

---

there may be other, better approaches of course