The Dutchman is now impressing in France with Lyon after his January move.
Ten Hag told Voetbal International: "Memphis is very confident in himself, and sometimes even a little too much.
"But I still think he may be the new Arjen Robben. He is extravagant, he is a creator. Like an artist, he has followed his own path and is rediscovering inspiration. As long as a player is focused on football and adheres to the values of the club, you can leave him the right to be expressive and creative."
Ten Hag worked with Depay at PSV Eindhoven.