Depay, who joined Lyon from Manchester United in January 2017, has returned to the scintillating form he enjoyed at PSV Eindhoven prior to his move to the Premier League, scoring 17 goals and accumulating 14 assists so far this season.
And, in an interview with the Ligue 1 club's official channel OLTV, Depay revealed he has felt rejuvenated since the start of the campaign.
"I think I'm at my best right now. I feel very free on the field," the 24-year-old said.
"I have confidence, and that's good. I don't think too much about the pitch. I'm just enjoying the moment.
"I've felt the difference since the beginning of the season. It's important for me to play every match the best I can.
"First and foremost, I want to play well. I want to be at my best every game. The rest will come naturally."
Depay's role has changed since his arrival at Lyon, with the Dutchman often playing as a second striker rather than an out-and-out winger.
The forward believes that this slight tweak in style has been paramount to his success, and emphasised the importance of his relationship with Lyon coach Bruno Genesio.
"When I came last season, we played differently. It took a lot from me and the other wingers on the defensive side," he added.
"It was impossible for me to play this way. It wasn't really where I was at my best. I came here to bring all my qualities.
"I understood what the coach was asking me, I accepted it but I also said that it was not my main strength.
"[Genesio] lets me know whenever he's happy with me, as is the case right now. He gives me some instructions on what to do, but I am not a player who needs a lot of information. He knows this and the relationship is good."
Depay's rise to prominence began at the 2014 World Cup, when he shone for the Netherlands as they reached the semi-finals.
However, Depay and the Netherlands will not feature at this year's World Cup, having failed to qualify, but the Lyon man is confident that under Ronald Koeman, the Dutch can return to their former glory.
"We have a new coach, new tactics and a very young group. I think I play an ideal role in this system," Depay, who added he does not plan on watching the tournament, said.
"We all have to work hard and expect a lot more from ourselves. We have a real mission because we can't miss out on qualifying again."