Active colloids in a bath of inert particles of smaller size cause anisotropic depletion. The active hydrodynamics of this nonequilibrium phenomenon, which is fundamentally different from its equilibrium counterpart and passive particles in an active bath, remains scarcely understood. Here we combine mesoscale hydrodynamic simulation as well as theoretical analysis to examine the physical origin for the active depletion around a self-propelled noninteractive colloid. Our results elucidate that the variable hydrodynamic effect critically governs the microstructure of the depletion zone. Three characteristic states of anisotropic depletion are identified, depending on the strength and stress of activity. This yields a state diagram of depletion in the two-parameter space, captured by developing a theoretical model with the continuum kinetic theory and leading to a mechanistic interpretation of the hydrodynamic anisotropy of depletion. Furthermore, we demonstrate that such depletion in nonequilibrium results in various clusters with ordered organization of squirmers, which follows a distinct principle contrary to that of the entropy scenario of depletion in equilibrium. The findings might be of immediate interest to tune the hydrodynamics-mediated anisotropic interactions and active nonequilibrium organizations in the self-propulsion systems.