For the same reason that the greats like Paul Newman and Al Pacino didn't win until late in their careers (Newman in 1987 for The Color of Money and Pacino in 1993 for The Scent of a Woman)... timing.
It's so much more than just delivering great performances. Other factors come into play. Buzz, competition, age, roles, etc.
Leo should have won Best Supporting Actor early in his career for his role in What's Eating Gilbert Grape.
Instead, Tommy Lee Jones won for his popular and charismatic role in The Fugitive. It could also be argued that Ralph Fiennes should have won for Schindler's List.Leo (Aviator) lost to Jamie Foxx's excellent portrayal of Ray Charles in Ray.
He (Blood Diamond) lost to Forrest Whitaker's performance in The Last King of Scotland.
This year, he (The Wolf of Wall Street) lost to Matthew McConaughey's amazing performance in Dallas Buyer's Club.
Johnny Depp has offered some excellent acting performances in his nominated roles for sure, however, I don't believe that he's had that one great Oscar performance yet.
Jamie Foxx (Ray) beat both Johnny (Finding Neverland) and Leo (The Aviator) in 2005.
Sean Penn (Mystic River) beat out Johnny (Pirates of the Caribbean) in 2004.
Daniel Day-Lewis (There Will Be Blood) beat out Johnny (Sweeny Todd) in 2008.
So you can see that Johnny went up against some titans, performance-wise.
Will Smith has been nominated twice for Ali and The Pursuit of Happyness. He lost to Denzel Washington (Training Day) and to Forest Whitaker (The Last King of Scotland). Two very tough performances to beat.
Tom Cruise, in my opinion, should have won for Best Supporting Actor in Magnolia. He lost to Michael Caine's performance in The Cider House Rules, which I believe was one of those "He hasn't won in decades? Let's honor him now before he's gone" cases.
Cruise was nominated for Best Actor twice before that with Born on the Fourth of July and Jerry Maguire. He lost to Daniel Day-Lewis (My Left Foot) and Geoffrey Rush (Shine), two powerhouse and nearly unbeatable performances.
Brad Pitt was nominated for three acting Oscars for Twelve Monkeys (Best Supporting), The Curious Case of Benjamin Button, and Moneyball. He lost to Kevin Spacey (The Usual Suspects), Sean Penn (Milk), and Jean Dujardin (The Artist). Again, tough competition.
But the great thing is, Brad Pitt has won an Oscar. He did just the other night as producer of Best Picture 12 Years a Slave.
That said, it will happen for all of them. Sadly for some, it may not happen anytime soon.
Tom Cruise (Full disclosure, he's one of my favorite actors) is currently starring in action movies. He dabbled in the indie market successfully in 1999 with Magnolia, but since then, he has focused primarily on action lead roles for the most part, with a couple exceptions.
His PR debacle in 2005-2006 derailed him in the public eye for quite awhile, but he's finally starting to move beyond that, as is the public.
Now in officially in his 50s, it's likely he's making the action movies while he can. But expect him to start taking some character roles in the coming years. All Cruise needs to do is realign himself with great directors again.
He likely won't be reteaming with P.T. Anderson sadly, unless he has gotten over the fact that Anderson wrote and directed an unofficial Scientology based film with The Master. But if he were to team with the likes of David O. Russell, or a director of that caliber, Tom Cruise WILL get an Oscar.
He'll likely end up much like his mentor Paul Newman, who often coasted on his charisma alone, just like Cruise, winning an Oscar in his 60s.
Will Smith will get there as well. It's just a matter of time.
Depp has to get past the odd ball schtick he's been thriving off of for the last decade plus. Once he finds that great role, there will be no stopping him.
And we can say the same thing for Pitt.
If you look at my linked Leonardo answer, you'll see that it's likely Leo will be the one to take home an Oscar the soonest. The stage is set. The public is pulling for him with the now endless memes. He's been nominated more than the rest here. The film industry is pining for him too. And he has a possible collaboration with David O. Russell in the mix, along with others.