The 21-year-old penned a deal to move from PSV Eindhoven to Old Trafford when the transfer window opens in July and the Holland ace has lofty ambitions of what he wants to achieve in the Premier League.
Depay, who has scored 25 goals this season, has a tattoo emblazoned on his chest that reads "dream chaser" and he is setting out to achieve even more in his early career.
"'Dream chaser' stands for me chasing my dreams," he said.
"I believe I can be one of the best players in the world and I have to dream and believe to achieve
It is tattooed on my chest.
"You just have to work every day on your dreams
My dreams started with going to the World Cup and then when I was there I scored two goals - becoming the youngest ever Dutch goalscorer - and I was very happy.
"But when the World Cup was finished I realised that was not it
I had to take more on to the pitch - there was more to do.
"So after the World Cup in pre-season I spoke to my manager and said I have to keep focused
Scoring in the World Cup was good but not the end of it
Now I am on fire."
Depay opted to remain in the Eredivisie last summer despite plenty of interest following those World Cup goals against Australia and Chile.
He revealed his former Holland coach and future United boss Louis van Gaal told him to keep improving on his game before he made a move for the forward - fending off reported interest from Paris St Germain and Liverpool.
"He is different," Depay said of Van Gaal.
"His performance on the training ground is different from other trainers
After the World Cup he told me to stay hungry and I told myself to stay hungry
When I made the decision to stay I wanted to be champion and top scorer
I set those goals and I hope to achieve them.
"It will be great to have an opportunity to train with him and work with him
Of course I am looking forward.
"I want to improve myself but Dutch players have played also in the Premier League and I spoke with many of them
I believe I can be a big player in the Premier League - I showed my ability in the World Cup.
"I am very excited
I was always reading about the Premier League
It has been a big dream and one that came true
But is not the end of the dream, it is just starting."
The dream now is more long-term, to dethrone the likes of Lionel Messi, Cristiano Ronaldo and Eden Hazard as the best player in the world.
And, with an affinity with former United favourite Ronaldo, Depay has already drawn comparisons to the Real Madrid forward from fellow Dutch international Leroy Fer.
Whilst Depay regards Ronaldo as a hero, he also knows he needs to emulate the Portuguese if he is to get close to the dream he is chasing.
"I heard Leroy Fer speak about it and it is great to hear that from other players," he added.
"If you read it in the media it is great, but I am 21 and I have not reached the level of Cristiano Ronaldo.
"He is a big hero for me and one day I hope to reach that level
He scores so many goals and I want to fight to be one of the best players in the world."
Depay is the first summer signing for United as they look to build on the squad which has all but sealed a return to Champions League football.
Meanwhile, United's executive vice chairman Ed Woodward is likely to shed some light on Van Gaal's spending plans tomorrow.
United will announce their third quarterly results at noon and Woodward will then take part in a conference call with investors when the subject of summer spending is likely to be raised.
Source : PA
Source: PA