I purchased a rental property and it has a detached garage and another shed. Do I list these buildings as assests and depreciate them?

Yes, when you set up the rental for depreciation, break out the various asset that you have.

So list the shed and garage separately, from the rental building.  You will also have an allocation to land.

If the garage or shed are later sold and/or damaged in a storm it will be easier to write off the remaining value or report the sale of them.