Depay, 20, impressed for the Dutch at this summer's World Cup and Hiddink has tipped the PSV Eindhoven attacker to emerge into a top player.
"Depay has the potential to become Netherlands' best player," Hiddink told NOS.
"I've noticed that he has even more potential than I first thought now that I'm working with him.
"He still has plenty of room for improvement. I first thought that it was hard to approach him but I was wrong. He is incredibly interested and keen to learn."
Netherlands face Czech Republic in their first Euro 2016 qualifier on Tuesday evening.