edit:
I really liked editing your sprite, the shading is very interesting indeed, but I think for it to work in pixel art you need to not make it completely black and apply some more anti-aliasing.
You can see I removed all those 1 line thick highlights you used, those look pretty bad and are also banding. Using AA to avoid banding is really good, but I don't really see you use it much. To avoid banding you can also use good clusters, which is something you will probably have to learn over time. Good clusters are very big and have nice blocky shapes, you can see some of those in my edit.
So you can also see that I removed most of your highlights, that is because most materials don't really have highlights, of course clothes do indeed look less dark where more light hits, but you can't really make this look good in low res pixel art, I recommend only doing highlights on shiny material so metals and plastic (which can also be a jacket of course) Hair normally also has highlights, but you applied them a bit weird, which brings me to my 3rd point.
Depth, this is really a matter of being good at drawing, to show depth you have to show good shading. Here's an example, cause its quite hard to explain in words:
As you can see the first slime-blob-thingamajiggo looks a lot more like its a real 3D object, while the other one looks either like its hit by a really weird light source from the back, or just a flat piece of pixels. To really learn how to draw and shade in 3D i'd say learn to draw (with pen and paper) basic 3D shapes like cylinders, cubes and pyramids. To be good at pixel art is to be good at drawing, since pixels are really only the medium.
Figuring out colours is something ive been struggling a lot with, I used to ask a lot of other experienced pixel artists what they did, all of them said that they just kept trying out different colours until they were satisfied. This is also what I did, over time you also kind of learn what happens to your colours exactly when you use the sliders and getting good colours will become natural.
I hope this post helps out a bit, Its pretty late when im writing this so feel free to ask questions if i didn't explains something well or you just want to ask me anything at all.