The 22-year-old joined the French side earlier today in a deal worth an initial £16million, which could rise to £21.7m.
Depay arrived at Old Trafford in 2015 for £31m from PSV Eindhoven.
Man United fans say goodbye to Memphis Depay on Twitter after Lyon move
Fri, January 20, 2017
Memphis Depay has completed a move to Lyon potentially worth £21.7m, and Manchester United fans have taken to Twitter to say goodbye to the Dutch winger
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Manchester United fans react on Twitter as Memphis Depay completes his move to Lyon
But the winger proved to be a major disappointment for Manchester United, making just 53 appearances and scoring seven goals.
However, Depay says he focus is now on proving himself again in Ligue 1 for his new club.
Memphis Depay completed his move to Lyon earlier today
"I am not looking for revenge on Manchester United or anything," he said at a news conference.
"I just want to show what I am capable of again, just like I have done in the past.
"I played with some great players at United, like Wayne Rooney, Zlatan Ibrahimovic and Paul Pogba. I learned a lot from them and took all of that on board. I learned that it was necessary to adapt to a new team, a new style of play and a new league. I now have to prove myself again.
Memphis Depay played 53 times for Manchester United
"The project at OL was more complete than what other clubs could offer. I felt that coming here was the right move. I follow all the leagues and I know OL are a big club that has won a lot of titles.
"I know that Sunday's game against Marseille is crucial. I hope to feature in some way, even if I need a bit of match rhythm. I want to score goals, enjoy myself and play in this magnificent stadium."