PSV have 49 points from 19 matches, seven ahead of second-placed Ajax Amsterdam who play their game in hand against bitter rivals Feyenoord on Sunday.
Wijnaldum glanced home a right-wing cross from Jetro Willems in the 39th minute before Depay looped a second-half header over goalkeeper Leonard Nienhuis to notch his 11th league goal of the season.
Substitute Daniel de Ridder pulled a goal back for Cambuur in injury time.
Bottom club Dordrecht claimed a first win in 17 league matches when they defeated Excelsior 1-0.
Forward Mart Lieder scored 19 minutes after halftime to ensure their first victory since Aug. 9.
Dordrecht are now three points behind second from bottom NAC Breda but have played one game more.
Fourth-placed PEC Zwolle, on 33 points, came from behind to draw 1-1 with AZ Alkmaar who are fifth.
Serbian midfielder Nemanja Gudelj put the visitors ahead after five minutes but Jody Lukoki quickly equalised.
Heerenveen leapfrogged Cambuur into seventh place as they thumped Vitesse Arnhem 4-1.
Forward Luciano Slagveer (2), Marc Uth and Daley Sinkgraven were on target for the hosts.
Georgian defender Guram Kashia netted his first of the season to pull a late goal back for Vitesse.
(Reporting by Nick Said, editing by Tony Jimenez)
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