Henrikh Mkhitaryan was on the scoresheet for Man United against his former club, but goals from Gonzalo Castro (2), Pierre-Emerick Aubameyang and Ousmane Dembele ensured that Dortmund were victorious.
Two players faced their former clubs in China as Mkhitaryan lined up for Man United and former Red Devil Shinji Kagawa took to the field for Dortmund, who named a very experienced XI.
Twice in the early stages Depay looked to use his pace to break into a one-on-one situation with the Dortmund goalkeeper, but centre-back Sokratis Papastathopoulos was on hand to challenge on both occasions.
Dortmund made the breakthrough in the 19th minute of action when Castro finished from close range after a mix-up inside the Man United box. Aubameyang's initial free kick from distance was kept out by Sam Johnstone, who then saved from Dembele, but the rebound fell to Castro, who managed to bundle his effort over Phil Jones on the line.
Dortmund then had their second of the night in the 36th minute of action when Gabon international Aubameyang scored from the penalty spot after Valencia had clumsily handled inside the box.
Aubameyang continued to cause problems in the final third and came close to making it 3-0 late in the first period after catching out Jones inside the box, but Johnstone was on hand to make a smart save.
Man United boss Jose Mourinho made four changes at the interval and among those was Marcus Rashford, who was initially not expected to feature due to his involvement with England at the European Championships in France.
The Premier League side had a golden chance to pull one back in the 56th minute when Mkhitaryan broke into the Dortmund box, but the Armenian international could not beat former teammate Weidenfeller.
Instead, it was Dortmund that scored the game's third goal in the 58th minute when Dembele showed excellent feet outside the Man United box before finishing past substitute stopper Sergio Romero, who got nowhere near the strike.
Man United hit back moments later, however, as Juan Mata set up Mkhitaryan and the midfielder tapped into an empty net against his former club to score his first goal for the Red Devils in his second appearance.
Mikel Merino came close to scoring a fourth for Dortmund 15 minutes from time when he closed on a loose ball inside the box, but Mata came from nowhere to poke behind for a corner.
Dortmund had another opportunity in the 81st minute when the ball broke for American Christian Pulisic outside the box, but the midfielder's effort just missed the far post. Castro did make it four in the 86th minute through when the midfielder found the top corner with a strike from distance.
Next up for Man United is a clash with rivals Manchester City in Beijing on Monday, while Dortmund will take on Man City in their next pre-season clash on July 28.