A drill bit has a shank portion having a plurality of SDS-type slots, a cutting portion comprising at least one cutting flute, and an intermediate portion connecting the shank to the cutting portion, the intermediate portion including at least one additional slot. A depth gauge includes a body configured to receive the drill bit, a retention mechanism coupled to the body and having an inward projection to removably couple the body to the at least one additional slot in the drill bit, and a cap coupled to the body such that the cap contacts a workpiece surface to prevent the drill bit from entering the workpiece more than a predetermined depth, wherein the cap is movable relative to the body among a plurality of positions, wherein each of the plurality of positions corresponds to a different predetermined drilling depth.