Philip Cocu's side moved seven points clear of champions Ajax at the top of the table on Saturday with a comprehensive 5-0 victory over Go Ahead Eagles, extending their unbeaten league run to 10 matches.
PSV have not lifted the championship since 2007-08 and finished a distant fourth last season.
Depay, who scored twice on Saturday, is desperate to win the title, but knows there is a lot of hard work to be done in the second half of the season.
"We have a long way to go," the 20-year-old told AD.nl.
"Being the champions is my only goal. We still have a lot of games after the break, which if we win them all then we will be champions.
"The football was not always good [against Go Ahead], but the result speaks for itself.
"Now we can relax."
Ajax will cut PSV's lead back to four points on Sunday if they beat Excelsior at the Stadion Woudestein.
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