Atletico took the lead in the second minute when Angel Correa tapped home Javi Galan’s cross at the back post.
However the visitors were pegged back before the break when Puerto Rican striker Leandro Antonetti bundled his way into the area and finished with aplomb.
Diego Simeone brought on Antoine Griezmann at half-time, bidding to avoid an upset, and Atletico took the lead midway through the second half through Depay.
The striker found space in the box and smashed home, going on to quickly add a second goal with a superb clipped finish from Marcos Llorente’s cross.
Later last year’s champions Real Madrid visit fourth-tier Arandina, while record 31-time winners Barcelona visit Barbastro on Sunday.
