Highlight the argument passed in the exposed filters
I was able to create a solution for a regular Taxonomy: Term ID (no depth) filter, so this may not be applicable for you (the filter with depth was behaving erratically for me). 

This code will set the dropdown element to the term provided in the argument, and will defer to the dropdown selection if one is chosen.

Add this to your custom module and then flush caches:

function mymodule_form_views_exposed_form_alter(&amp;$form, &amp;$form_state) {
  if($form_state['view']-&gt;name == 'name_of_view') {
    if(!isset($_GET['tid'])) {
      $arg = arg(1);
      if(isset($arg)) {
        $selected_value = array_search($arg, $form['tid']['#options']);
        if(isset($selected_value)) {
          $form_state['input']['tid'] = $selected_value;
        }
      }
    }
    else {
      $form_state['view']-&gt;args = array();
    }
  }
}


You can try changing every instance of 'tid' to 'term_node_tid_depth' if you are going with a Taxonomy With Depth filter (use a dpm($form) to verify the filter name).