The 20-year-old's brilliant run through the centre of the Heracles' defence finished with Depay converting the rebound after goalkeeper Remko Pasveer palmed away his initial effort to hand PSV a 12th-minute lead.
And the Dutch international's seventh league goal of the season set the tone for a dominant display from Phillip Cocu's side, who made it four wins from their last five Eredivisie games.
But the victory was only secured after the hosts had survived a scare as Heracles hauled themselves level three minutes before half-time courtesy of an excellent curled shot from Bryan Linssen that beat goalkeeper Jeroen Zoet.
It was all PSV in the second half and the home side got their reward after 63 minutes when Bryan Ruiz headed home from close range after good work down the left and a clever cross from Jetro Willems.
A frantic finish saw Zoet produce a fantastic double stop as Cocu's side clinched a deserved win.
A fourth consecutive win at home takes PSV into fifth place, while Heracles are 11th.
