The Paris St Germain midfielder and his Barcelona-bound team-mate scored all three goals between them as the Dutch rounded of a perfect Group C campaign with a 3-0 win over North Macedonia in Amsterdam to send them into the last 16 in good shape.
Asked about his relationship with Lyon frontman Depay, Wijnaldum told a press conference: "Yes, I feel a special connection with Memphis. We have played for a really long period together, first at PSV and then in the Dutch team, so there is a connection.
"But I don't think it's only Memphis and me, I think there are more players who can make a difference."
It was Depay who fired Holland into a 24th-minute lead at the Johan Cruyff Arena, and his cross which allowed Wijnaldum to make it 2-0 six minutes after the break before keeper Stole Dimitrievski could only parry his 58th-minute shot to the former Liverpool midfielder to claim his second.
Manager Frank De Boer was less than impressed with his side's first-half display, during which they were hit repeatedly on the break by the Macedonians, but happier with the second.
De Boer said: "We had some great moments during the game, but also really bad ones, especially in the first half. We were sloppy.
"In the second half, it went much better. At the end of the day, we can be very positive and I feel really good about it."
North Macedonia boss Igor Angelovski, who revealed the game had been his last at the helm before his contract expires on July 31, praised the contribution of 37-year-old Goran Pandev to the national team after his 122nd and final appearance.
He said: "I can only say that I am happy to have worked with such a captain for five and a half years, and I thank Goran Pandev for everything he has done for football in Macedonia.
"I hope the next generations will have a good example of how they should act, how they should work to reach the results which Goran Pandev accomplished."
Asked to assess his side's debut at the tournament, Angelovski added: "We cannot be disappointed because it was our debut, our first time in the Euros. We are those who broke the ice and I want to thank all my players for all they did."