I'm in the first bit of the Depths they send you to, where you have to light 2 of those big roots and talk to Robbie. He then tells me to go back up but the map doesn't allow me to fast travel.
I read online about a 4th shrine on Sky Island that you have to teleport to before jumping down but I never knew about that so it seems the game just decided I could play on without that feature.
As far as I know you should not be able to leave the sky island without doing it, so I would just recommend to save, close and reopen the game, just in case it's bugged. But if you actually do need to teleport to that temple to unlock something, you can still change your map to the sky by pressing up and then select it.
Also you are never stuck, worst case if you want to walk out of the depths for whatever reason, you can find some stone pillars that go all the way down and you can ascend up those to get back on the surface.
Uh oh. Looks like that could be a great discovery for Speedrunning
Honestly I can't help you as you have an unintended state here, but I'm curious. How did you do to leave the great sky island without the 4th shrine? Did you somehow go through that door in the temple of time? Did you just fall after completing the 3 first shrines?