Lyon travels to Turin with a 1-0 advantage from a first leg that was staged way back in February.
Rudi Garcia's side was beaten on penalties by Paris Saint-Germain in a Coupe de la Ligue final last Saturday (AEST) that was its first competitive match since March.
While the Ligue 1 season could not be finished due to the coronavirus pandemic, Juve returned to Serie A action in June and last week sealed a ninth consecutive title.
Depay knows that will be an advantage for the Italian champions, but the Lyon captain - who made his comeback against PSG after recovering from a knee injury - believes his side can defy the odds and reach the quarter-finals.
He is quoted as saying by UEFA.com: "[The first leg] was the first match I watched [after suffering a serious knee injury], and I saw a team spirit that made me so very happy.
"Juve weren't playing well. But now, months later, the situation is totally different. They have now played more matches than we have, so many aspects are now completely different to normal.
"But that has allowed me to be able to play in the Champions League. I am ready."
He said: "With the new rules [one-off games from the last eight onwards], anyone can be favourites. Because you know there are only one-off games.
"And Juventus have some very experienced players when it comes to playing finals. We, on the contrary, have a lot of young players who don't have much experience with the pressure of playing in finals and the Champions League.
"We'll just have to see. I do know that we have a very eager team and that we are definitely not afraid."