PSV, who kick-started their season with a 3-1 win over Willem II last weekend, picked up where they left off and Wijnaldum fired them ahead on 22 minutes.
It got worse for Breda just four minutes later when defender Aleksandar Damcevsksi converted past his own goalkeeper to inadvertently double the home side's advantage.
The visitors managed to throw themselves a lifeline ahead of the second half when Adnane Tighadouini stroked home a 31st-minute penalty to reduce the arrears.
Philip Cocu's side emerged from the interval with a sharper killer instinct, however, and scored three times in the space of five second-half minutes to move 5-1 up.
First, Depay, who also bagged a brace last weekend, struck his third in two games on 52 minutes, before Jurgen Locadia added a fourth, while Wijnaldum secured his double.
Depay then added his second with 16 minutes remaining as PSV moved top of the Dutch league.