Do smaller sensor cameras have more Depth of Field?
Short Answer
Yes, and No.
Full frame bodies tend to offer a wider range of Depth of Field. Both full frame and crop tend to offer the same limit on deep Depth of Field, but the range for full frame extends further into shallow Depth of Field. This means that any depth of field you can get with a crop can be matched by a full frame. However, full frame can usually get Depth of Field shallower than a crop body.
Medium Answer
It depends on how you want to compare. If you structure the comparison carefully you can show the Crop Bodies have more, less, or the same Depth of Field.
At the same Angle of View and same Aperture diameter, they have the same Depth of Field.
At the same Angle of View and same f/stop, the crop body has more Depth of Field.
At the same focal length and same f/stop the crop body has less Depth of Field
Long Answer
Let's start by taking a look at the question "Do smaller sensor cameras have a narrower angle of view?"
The answer to that is that if you insist on comparing at the same focal length, then yes they do. However, most photographers will choose a shorter focal length for a smaller sensor camera and end up with the same angle of view as a full frame.
If you are shooting your full frame with a 50mm lens you get a 46° angle of view. If you switch to a 2X crop body, you can switch to a 25mm lens and get that same 46° angle of view.
In terms of Depth of Field, given the same subject, same angle of view, same aperture diameter, and same shutter speed, you get essentially the same image, independent of sensor size.
By "essentially the same" I mean the same framing, same Depth of Field, same motion blur, same overall image noise and same diffraction bluring.
What this means is that if your crop body sensor is set to the same angle of view, aperture diameter, and shutter, you're going to get the same results as a full frame body.
Keep in mind, I said "aperture diameter" not "f/stop". The f/stop is the ratio of the focal length to the aperture diameter. For instance "f/4" means the aperture diameter is the focal length ("f') divided by 4. For a 100mm lens, f/4 is a 25mm aperture diameter. For a 50mm lens f/4 is a 12.5mm aperture diameter.
Consider a full frame camera with a 50mm lens at f/4. On a 2X crop body, you would need a 25mm lens at f/2 to get that same aperture diameter. On the crop body you probably will want to set the ISO two stops lower in response to the bigger f/stop.
It's interesting to note that at f/2 you get four times the light per unit area than at f/4. With a 2X crop body, the sensor is 1/4 the size of a full frame sensor. These two balance out, and you end up getting the same total light captured from a full frame at f/4 and a 2X crop at f/2.
Now if you insist on shooting your crop body at the same focal length and same f/stop as the full frame, you will get different results. Most noticeably, the crop body will give you a much tighter framing, as if you had "cropped" the full frame image (hence the term "crop body"). You will also have shallower Depth of Field
However, if you shoot your crop body at the same angle of view, and same aperture diameter as the full frame, you get the same results.
An advantage of a full frame camera, is that at any particular angle of view, you typically have the option of wider aperture diameters.
If you are shooting your full frame with a 50mm lens at f/1.8, your 2X crop body would need a 25mm lens at f/0.9. That's not a lens stocked at your local Best Buy. If your are shooting your full frame with a 50mm lens at f/1.2, then your 2X crop needs a 25mm f/0.6 lens. Even an online camera superstore doesn't stock that lens.
The bottom line is that full frame cameras give you the option of shallower Depth of Field. However, any Depth of Field you can get with a crop body, you likely will be able to match with a full frame.
Diffraction Limits
While it may seem that crop bodies offer the option of deeper Depth of Field, this isn't usually the case. It's true that crop bodies generally allow you to choose smaller aperture diameters, but diffraction issues tend be the limiting factor for Depth of Field, and those kick in at the same point for both full frame and crop bodies.
Remember, Depth of Field refers to range of distances where the image is sharp enough that a typical human viewer sees them as being in focus. Diffraction issues add blur to the image. At large aperture diameters, the blur is small enough that it isn't significant. As you move to smaller aperture diameters, the blur becomes more significant. At some point the diffraction blur is enough that nothing appears to be in sharp focus. At that point, a Depth of Field calculator might tell you that there is deep depth of field, but that's ignoring diffraction. The resulting image will not be sharp.