Nabil Fekir gave the hosts the lead in the second minute at Groupama Stadium with a brilliant free-kick.
But on the stroke of half-time it was all square. Layvin Kurzawa hammered home a stunning volley.
Twelve minutes into the second-half, PSG full-back Dani Alves was given a straight red card for dissent but it was not until the dying seconds that Lyon could exploit their advantage.
Depay picked the ball up on the left 35 metres from the goal. He cut across past two defenders before unleashing a right foot drive from 25 metres that curled into the top left hand corner past the befuddled PSG goalkeeper Alphonse Areola. It was the Netherlands international’s ninth goal of the season.
"We're happy with the result, especially with beating the leaders when we're aiming for second or third place," said Lyon coach Bruno Genesio.
"It's going to be difficult to catch PSG and the goal of the club is to take a Champions League place."
PSG were without 222 million euro striker Neymar for the clash. He was absent with a thigh strain after scoring four goals in the 8-0 romp past Dijon on 17 January.
Kylian Mbappé started instead but he was stretchered off after a clash with the Lyon goalkeeper Anthony Lopes in the first-half.
"Playing with only 10 men is never easy," said PSG midfielder Marco Verratti. “But I think we held up well. Lyon have good players and they scored great goals.
“When we were down to 10 men, we obviously wanted to hold out for a draw but we suffered at the end so credit to Lyon. We’ve just got to keep working and not panic.”