After a pass forward on the right was headed away by the Villareal defence, Depay pounced and unleashed a first time effort on the half volley.
It was a clean strike that curved sharply away from the goalkeeper.
It gave Lyon a valuable lead before heading to El Madrigal next week, but Villareal are still in the tie with their away goal.
Check out Memphis' effort here:
15 February 2018