The halfspace depth of a $d$-dimensional point $x$ with respect to a finite (or probability) Borel measure $μ$ in $\mathbb{R}^d$ is defined as the infimum of the $μ$-masses of all closed halfspaces containing $x$. A natural question is whether the halfspace depth, as a function of $x \in \mathbb{R}^d$, determines the measure $μ$ completely. In general, it turns out that this is not the case, and it is possible for two different measures to have the same halfspace depth function everywhere in $\mathbb{R}^d$. In this paper we show that despite this negative result, one can still obtain a substantial amount of information on the support and the location of the mass of $μ$ from its halfspace depth. We illustrate our partial reconstruction procedure in an example of a non-trivial bivariate probability distribution whose atomic part is determined successfully from its halfspace depth.