The purpose of this paper is to introduce an easy to use but powerful methodology that allows closed terrain depressions on the Mars landscape to be correctly identified and delineated from digital elevation models. Closed terrain depressions have important implications for the geology and geomorphology of Mars where they have been formed by the processes of impact, subsidence, collapse, trickle down of unconsolidated material, tensional tectonic forces, dissolution and erosion. The application of the procedure to six test sites, covering a representative range of Mars landscapes, shows that closed depressions are ubiquitous on Mars, from the Southern Highlands (where they cover 37% of the surface) to the Northern Lowlands (where they cover 26% of the surface). The minimum coverage of 9% occurs on the Tharsis Dome around the three giant Tharsis volcanoes. A power law distribution, which is directly related to the fractal dimension, is shown to provide a very good fit to the size-distribution of Mars depressions. In addition to the fractal dimension, several other morphometric parameters are calculated to demonstrate the use of the methodology in planetary geology. The work presented here uses digital elevation models provided by the Mars Orbiter Laser Altimeter (MOLA), the resolution of which limits the identification of terrain depressions to those that have diameters greater than around 460 m. The methodology is, however, general and can be applied to smaller scale depressions that are available in detailed digital elevation models obtained from high resolution images such as the High-Resolution Imaging Science Experiment (HiRISE) mounted on the Mars Reconnaissance Orbiter. This opens up a wide range of applications using the simple but powerful methodology described in this paper.