Steven Bergwijn and Denzel Dumfries netted the other two goals as the Dutch ended Belgium's almost six-year unbeaten home record in a stark reversal for the team, who had topped the FIFA rankings for three years until being recently deposed.
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Bergwijn hammered home from outside the box in the 40th minute to give the Dutch a deserved halftime lead before Depay and Dumfries added more in the second half in a decisive performance.
Belgium, who lost Romelu Lukaku to injury early on, scored a consolation three minutes into stoppage time through Michy Batshuayi but were badly exposed at the back and the result will come as a serious setback as the prepare for the World Cup later this year.
The Dutch, who last beat Belgium in 1997 and had gone eight derbies without success since, ripped apart the home defence in the second half as Depay added the second in the 51st minute on a counter attack after a midfield steal from Davy Klaassen and a quick pass down the middle from Steven Berghuis.
Fullback Daley Blind reacted quickest to a rebound off a save from a Berghuis shot 11 minutes later to set up the third goal with a pass across the face of the goal that Dumfries tucked in at the back post.
Blind then provided another assist three minutes after that with a header into the path of Depay, who skilfully took the ball down off with his thigh before thumping it past Simon Mignolet from close range.
"That this international match comes after a gruelling season should not be an excuse. Certainly not when you play against the Netherlands," said Mignolet.
"We must learn from this. You can't just let such a defeat pass you by."
Belgium did look to score a consolation goal 13 minutes from time but Michy Batshuayi was offside in the build-up to Timothy Castagne putting the ball in the net. A VAR check denied Belgium a goal but they did get a consolation right at the end of the match.
Belgium last lost a home game in friendly against Spain in September 2016 when coach Roberto Martinez took charge of his first game.
Dutch captain Virgil van Dijk said he was not surprised by the away win.
"We analysed them well and we executed our plans, we did it very well," he said. "It was an excellent night."