Wolves, who finished seventh in the Premier League last season, are looking to bolster their attacking department and has earmarked the Dutch forward as a potential option.
The 48-cap Netherlands international joined Manchester United in 2015 but after failing to make an impact at Old Trafford, he left the club two years later.
The former PSV Eindhoven winger found his mojo back at Lyon where he has emerged as one of the key players for the club.
He has scored 39 goals since joining the French outfit and has provided 41 assists. Last season he scored 12 goals and provided 16 assists in all competitions.
Nuno Espirito Santo has a wealth of attacking options at his disposal, but Depay would be a terrific addition to the side.
He has a contract with Lyon till 2021, and the Ligue 1 side are expected to demand a high transfer fee for him. It remains to be seen whether Wolves make any formal move for him in the coming weeks.