Kevin Nisbet's first international goal appeared to have Scotland – without seven players amid a positive coronavirus case within the squad – on course for a first victory over the Dutch since November 2003, only for Depay to curl in a free-kick and level the game.
The influential Netherlands forward had earlier cancelled out Jack Hendry's long-range opener as two nations preparing for the upcoming Euro 2020 tournament could not be separated after 90 minutes in Faro.
Hendry had broken the deadlock in spectacular fashion in the 11th minute, the centre-back drilling in a low, right-footed shot from just outside the penalty area, punishing the Netherlands as an attempt to play out from a goal kick led to a costly turnover.
However, after Lyndon Dykes was denied by Tim Krul, the Netherlands responded with an eye-catching strike of their own.
Picked out with a long pass after making a forward run into the penalty area, Georginio Wijnaldum headed the ball down into the path of supporting team-mate Depay, who sent a left-footed volley beyond Craig Gordon.
Wijnaldum did not feature for too much longer after his assist – De Boer replaced both his captain and also fellow midfielder Frenkie de Jong in the 31st minute. Substitutions became a common theme in the second half too, including the introduction of Nisbet.
The forward wasted little time in making an impact on proceedings after replacing Dykes, providing the finishing touch when picked out by Andy Robertson's inviting cross from Scotland's left flank.
Gordon denied Patrick van Aanholt to preserve the slender advantage, but there was nothing the goalkeeper could do with Depay's set-piece strike in the 89th minute.