The Netherlands international admitted it was a new experience for him, but thought he handled the situation well considering.
The 21-year-old, who joined the Red Devils in a £31 million move from PSV Eindhoven in June, also conceded that his performances must improve after a difficult start to life in the Premier League.
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"It’s a new experience for me playing in the Premier League so I still have to improve," Memphis was quoted as saying by the Daily Mail. "I think my reaction (to being substituted) was good. I think about it and I’ll improve in training so I can do better in a game.
"I learned so many things here. But it’s on a different level, the competition is different. I have to learn in the Premier to improve there. I have learned a lot of things from PSV but it’s different."
Depay promises to celebrate if he scores
Depay was speaking alongside manager Louis van Gaal ahead of Tuesday night's Champions League group stage clash against his former employers.
Asked if he will celebrate if he scores at the Philips Stadion, the Dutchman responded: "A lot of people ask that question.
"It’s still a game for me, so if I score I will celebrate. I have respect for PSV but I play for Manchester United now.
"Of course, I was playing for 10 years for PSV before I came to United. It’s a special feeling for me also to see my old teammates and play against them so it will be interesting.
"I think when I came on the pitch the first time I was very young so I will think about that when I walk on the pitch to train tonight, but tomorrow it’s different. It will be interesting to see what we can do. I think we’ll do a good job here."
Depay has performed in the Champions League
Although Depay has struggled to perform in the Premier League, it's been a different story for Manchester United's new number seven in the Champions League.
The tricky winger scored two excellent goals in the play-off round first leg against Club Brugge at Old Trafford last month - and provided an assist for Marouane Fellaini in the same match - before setting up Wayne Rooney's opener in the second leg in Belgium a week later.
Depay possesses all the attributes required to become a superstar of European football and will be keen to rediscover his best form, starting this evening against his former club.
Manchester United fans: will Memphis Depay score against PSV tonight? Have your say by leaving a comment in the box below!
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