The highly rated winger had attracted the attention of Manchester United and Tottenham Hotspur but has pledged his future to the Eindhoven side, signing a four-year deal.
The 20-year-old winger is seen as the hottest prospect in Netherlands and a bright season in the Eredivisie was followed by an impressive World Cup campaign in Brazil that saw him attract the interest of Manchester United and Tottenham Hotspur.
As speculation grew over the youngster's future, PSV offered him a new contract to make him one of the club's highest earners. He has now signed the deal, tying him to the Eredivisie side until 2018.
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Technical director Marcel Brands said the deal was a year in the making.
"We have worked hard for one year behind the scenes to keep Memphis in Eindhoven this season," Brands said. "We are more than pleased that he enters this new commitment. The budget that was available for to bring in another winger has now been used to keep Memphis at PSV."
Depay, who is the top scorer in the Eredivisie after two games with four goals and one assist, says he hopes to improve further in Eindhoven.
"I want to develop myself in this team," he said. "Last season we have embarked on a path to success. I want to play for the titles and be important to the team. I am pleased that we have reached an agreement with the club."