using sequencing Illumina read depth data

You probably want to be a bit more specific here.

I added more info. Thanks.

Hi, CNV analysis could be done using SNP array data or sequencing data (whole-exome/ genome). You haven't specified what type of data you are looking at, but guessing from your interest "to use read depth" you probably have sequencing data (?). In any case, normalization of signal (read-depth from all genomic regions examined) is needed before identifying CN segments. So, you would have to process the whole data (exome/ genome) and once you have the results (CN segments) you can overlap them (using bedtools or similar) to known coordinates of genes. In fact many tools use gene information (BED file) and give you the result in terms of genes. One good example is CNVkit. Have a look at the documentation.