The 21-year-old winger has agreed to join United at the end of the season after a sensational season in Holland which saw him score 22 league goals and fire PSV Eindhoven to the Eredivisie title.
Now the Dutch international, who has a tattoo emblazoned on his chest that reads “dream chaser”, has set his sights on lighting up the Premier League in a similar fashion.
“‘Dream chaser’ stands for me chasing my dreams,” Depay said. “I believe I can be one of the best players in the world and I have to dream and believe to achieve. It is tattooed on my chest.
“You just have to work every day on your dreams. My dreams started with going to the World Cup and then when I was there I scored two goals – becoming the youngest ever Dutch goalscorer – and I was very happy.
“But when the World Cup was finished, I realised that was not it. I had to take more on to the pitch – there was more to do.
“So after the World Cup, in pre-season, I spoke to my manager and said I have to keep focused. Scoring in the World Cup was good but not the end of it. Now I am on fire.”
Depay opted to remain in the Eredivisie last summer despite attracting plenty of interest after his goals against Australia and Chile at the World Cup.
He revealed his former Holland coach and future United boss Louis van Gaal advised him to keep improving on his game at PSV before making a move abroad.
Now the duo will link up again after Van Gaal fended off reported interest from Paris St Germain and Liverpool to land his compatriot and Depay is excited about the prospect.
“He is different,” Depay said of Van Gaal. “His performance on the training ground is different from other trainers.
“After the World Cup, he told me to stay hungry and I told myself to stay hungry. When I made the decision to stay, I wanted to be a champion and top scorer. I set those goals and I hope to achieve them.
“It will be great to have an opportunity to train with him and work with him. Of course, I am looking forward to it.
“I want to improve myself but Dutch players have played also in the Premier League and I spoke with many of them. I believe I can be a big player in the Premier League and I showed my ability in the World Cup.
“I am very excited. I was always reading about the Premier League. It has been a big dream and one that came true. But it is not the end of the dream, it is just starting.”
Depay is a huge fan of former United favourite Cristiano Ronaldo and has already drawn comparisons to the Real Madrid forward from fellow Dutch international Leroy Fer.
While Depay appreciates the compliment, he accepts he has a long way to go before that comparison can become a reality.
“I heard Leroy Fer speak about it and it is great to hear that from other players,” he added. “If you read it in the media, it is great, but I am 21 and I have not reached the level of Cristiano Ronaldo.
“He is a big hero for me and one day I hope to reach that level. He scores so many goals and I want to fight to be one of the best players in the world.”