"Z-depth" (in the 3D sense) may be misleading, since alpha-blended sprites don't typically use the depth buffer that normal opaque meshes use.
It's actually triangle order that determines which parts are on top of another.
And I think for plain meshes, it's indeterminate.
If you weight them with bones, triangles are sorted according to the bones with the greatest influence, according to how the bones are sorted in the Weights/Bind list. But even then, you'll still get unpredictable results if you overstretch triangles over other triangles like that.
But for, say, separate limbs overlapping each other, that should work reliably if you weight them and reorder them correctly.