Shrub-depth and rank-depth are dense analogues of the tree-depth of a graph. It is well known that a graph has large tree-depth if and only if it has a long path as a subgraph. We prove an analogous statement for shrub-depth and rank-depth, which was conjectured by Hliněný, Kwon, Obdržálek, and Ordyniak [Tree-depth and vertex-minors, European J.~Combin. 2016]. Namely, we prove that a graph has large rank-depth if and only if it has a vertex-minor isomorphic to a long path. This implies that for every integer $t$, the class of graphs with no vertex-minor isomorphic to the path on $t$ vertices has bounded shrub-depth.