How can I fix my entry door that is not deep enough?
You can either purchase jamb extensions or make them yourself from 1x lumber.  Your exterior walls may be 2x6 construction and your door may be for 2x4 construction - which explains the situation your describe.  

However, this is fairly common and an easy fix.  Contact the supplier from where you bought the door and see if the jamb extensions are available or have someone "rip" a 1x to the correct dimension and fasten it to the jamb with glue and finishing nails.  Then you can apply your interior casing (trim) to reduce drafts.