The 24-year-old joined the Ligue 1 club from United in January 2017 following a largely underwhelming 18-month spell at Old Trafford.
Depay has now opened up on his time in Manchester, admitting that he was not true to himself and was glad to try his luck in France with Lyon.
"I know how it works in football," he told Canal+. "I'm the one who gets all the punches. 'Memphis is crazy', 'Memphis does this...'. I cannot be anyone else but Memphis. I tried that, and I was not happy with myself. Back in Manchester, I was not happy with myself.
"How can I be a great football player when you're not happy with yourself? I looked in the mirror and I was not happy, I was sad. Now I'm happy to be myself. Honestly, in terms of quality... nothing [is lacking to be the best in the world]. I'm not arrogant but I need to be more consistent perhaps."
Depay scored a late winner in Lyon's 3-2 win over Marseille on Sunday to take his tally to 10 league goals since arriving.