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The documentation says depth buffers are enabled by default. So how do I enable it when it is not?

You need to:

1.) Create your back buffer or render target with a depth-stencil buffer, and
2.) Set your depth-stencil state to DepthStencilState.Default (or to a state object of your own that has depth test and depth write enabled).

EDIT:

DepthStencilState.Default should be set by, well, default, so probably your render target doesn't have a depth buffer. Are you rendering directly to the back buffer or to an off-screen render target?

actually it was the FPS spritebatch messing with my rendering buffer turning off the depth buffer. Thanks anyway.