Maybe his first mistake at Old Trafford was heaping pressure on himself.
In signalling his intention to follow the likes of Beckham, Ronaldo, Cantona and Best, Depay had targeted some pretty big shoes to fill. Way too big as it turned out.
Angel Di Maria – all £59.7million of him – had laboured under Louis van Gaal before exiting stage left.
But Depay, fresh from rampaging through the Dutch League, believed in himself enough to think he could succeed where even the talented Argentine had failed.
Why wouldn’t he? He’d helped PSV to their first title in seven seasons and clinched the Eredivisie Golden Boot award before setting sail for Manchester.
Early on the signs were good. Depay shrugged off his £25million price tag to score twice against Club Brugge and to help United into the Champions League group stages.
But as Van Gaal’s men struggled to live up to expectations overall so too did Depay. Yes, there were goals against PSV, Sunderland and Watford. But he was unable to prove the difference in English football as often as he did in the Netherlands.
As the problems mounted up, the fans held Depay culpable for mistakes that cost them points against Newcastle, Stoke and Chelsea.
The emergence of pictures showing the Dutchman turning up for training in a flashy £240,000 Rolls Royce convertible did little to endear himself to a frustrated fanbase, senior pros or club staff.
Even his illustrious countrymen – who had actually done the business at club level in the English game – were unimpressed.
Ruud Gullit, a player to whom Depay could only aspire right now, pulled no punches in his assessment of the youngster’s career last season.
“What I see with Memphis is a boy who wants two things at the same time.” Gullit said. “He wants to become a really good footballer, but at the same time he wants to be a global superstar and a style icon.
“I think to myself, ‘boy oh boy, do it in the right order. You have to perform, perform and perform again.’
“Once Memphis has won a lot of trophies then I don’t care if he wants to be as crazy as Dennis Rodman – or even crazier.
“My question to him is: how do you want to be remembered in life? As an odd character with a hat and a Rolls Royce? Or as a footballer?”
Koeman will give Depay another opportunity to answer that question.
He will give him the stage to once again showcase his talent. The confidence to express himself. The lifeline he needs to fulfil his potential in English football.
The Everton boss is already busy cracking the whip with Ross Barkley, trying to ensure that the penny drops.
If the Toffees are able to agree a deal with United for Depay, Goodison could have yet another serial thriller whose best is yet to come.