The hosts dominated the match right from the start as Wijnaldum forced the first save from the French goalkeeper Hugo Lloris with just a minute on the clock. The breakthrough eventually arrived at the midway point through a strike by Wijnaldum.
They doubled the lead in the final moments of the match through a penalty conversion by Depay.
The closest France came to scoring was a weak header from Antoine Griezmann in the 10th minute.
“This win shows the spirit of the team, the quality of the players we have,” said Depay.
“It shows that we have a bright future, we have to continue like this. This is just the start.
“There was one team out there with a lot of desire and we didn’t have enough,” Fraench coach Didier Deschamps said.
“There was a clear gulf between the sides and they deserved the win ... We weren’t at the races and didn't show enough.
In other matches, Slovakia beat Ukraine 4-1, Denwark defeated Wales 2-1, Norway held Slovenia to a 1-1 draw and Bulgaria and Cyprus too drew their match.