Marcus Thuram, the son of France 1998 World Cup champion Lilian Thuram, headed Guingamp ahead on 21 minutes at the Stade du Roudourou.
But Lyon hit back through midfielder Houssem Aouar on the hour after he was set up by Depay, with the Dutchman then curling the visitors into a 2-1 lead with a shot from just outside the area.
Depay struck again with a sensational 30-yard free-kick, although Thuram gave Guingamp hope with a penalty on 79 minutes after a handball by Jeremy Morel.
Maxwel Cornet wrapped up the points for Lyon five minutes later as he volleyed in a left-wing cross from Depay to keep Lyon in fourth.
"Two goals, two assists, it shows a mental quality well above the average," Lyon coach Bruno Genesio said of Depay.
"Being able to react like that in the storm at half-time, because we were in the storm, it shows that he is a leader."
Guingamp remain at the foot of the table, level on points with Thierry Henry's Monaco, and are set to reappoint Jocelyn Gourvennec next week after the club sacked Antoine Kombouare on Tuesday.
Gourvennec, 46, led Guingamp to the French Cup title in 2014 during a six-year spell at the club.
Monaco host runaway leaders Paris Saint-Germain on Sunday, and Henry will be without a number of first-team players against a team that won their last league meeting 7-1 in April.
"I've had a big problem since I arrived. The majority of the players have been in the treatment room for a while or carrying an injury for a long time," said Henry, who has yet to win as a manager in five attempts.
"That's why we've tried new things. You've got to make do with what you have," he said. "It might seem difficult to do well but we're going to try to trouble them.
"With a weakened team and several youngsters it should be even tougher than with 11 regulars but we're going to give it a go."
Montpellier lose second place
Later on Saturday, Montpellier failed to retake second spot from Lille as they fell to a 1-0 loss at Angers that ended their 11-game unbeaten streak.
Michel Der Zakarian's men, who saw Lille leapfrog them with a goalless draw against Strasbourg on Friday, succumbed to a 70th-minute header by Angers centre-back Romain Thomas.
Patrick Vieira's Nice made it three straight wins to jump into sixth, as Youcef Attal's excellent volley just after the hour mark sealed a nervy 1-0 win at Nimes despite the hosts missing a fifth-minute penalty and having two men sent off in the first half.
Former Arsenal full-back Mathieu Debuchy scored after 39 seconds as Saint-Etienne beat Reims 2-0, while Amiens edged out fellow strugglers Toulouse 1-0.