EDIT 3 : Compare the output from the code above, with the output from the same code with the default thickness of curves (code below). The depth sorting is still there, but it is useless since it is not visible from this output :
curve1[t_] := ParametricPlot3D[ {Sin[3 Pi s], Cos[5 Pi s^2], Cos[3 Pi s] Sin[3 Pi s]}, {s, 0.001, t},PlotStyle -> Red] curve2[t_] := ParametricPlot3D[ {1.3 Sin[7 Pi s], 0.5 Cos[2 Pi s], 0.4 Sin[6 Pi s^2]}, {s, 0.001, t},PlotStyle -> Blue] Manipulate[ Show[ {curve1[t], curve2[t]}, PlotRange -> {{-1.5, 1.5}, {-1.5, 1.5}, {-1.5, 1.5}}, Boxed -> True, Axes -> True, AxesOrigin -> {0, 0, 0}, SphericalRegion -> True, Method -> {"RotationControl" -> "Globe"}, ImageSize -> 600 ], {{t, 1, "t"}, 0, 12, 1}]