We introduce and study natural derivatives for Christoffel and finite standard words, as well as for characteristic Sturmian words. These derivatives, which are realized as inverse images under suitable morphisms, preserve the aforementioned classes of words. In the case of Christoffel words, the morphisms involved map a to ak+1b (resp., abk) and b to akb (resp., abk+1) for a suitable k > 0. As long as derivatives are longer than one letter, higher-order derivatives are naturally obtained. We define the depth of a Christoffel or standard word as the smallest order for which the derivative is a single letter. We give several combinatorial and arithmetic descriptions of the depth, and (tight) lower and upper bounds for it.