In the game Original War you can upgrade your Depot to Warehouse, but I don't really see whats the advantage of the Warehouse over the Depot.
Having a read here, it seams that
An upgraded depot gets a wider sphere of influence.
Also in the same walk trough, it looks like its part of Mission 13 as well.
As Иво Недев wrote, the sphere of influence in which you can construct / link buildings grows:
Apart from this, the building gets an armor bonus that depends on its level.