The Netherlands forward, who scored twice in the French league on Saturday, volleyed home in the 33rd minute from midfielder Houssem Aouar's excellent run and cross from the left to make it 2-0.
Lyon has seven points and is in second place in Group G, two points behind leader Leipzig — which won 2-0 at Zenit St. Petersburg — while Benfica is last with three points.
"I'm happy with the result because we had to make up for the points we lost in Portugal," Lyon coach Rudi Garcia said, referring to the 2-1 defeat in Lisbon two weeks ago. "We knew that with a win we could also sideline Benfica. Furthermore, Leipzig's win opens the door for us to qualify in the next match."
Moments later, the match was interrupted after Benfica defender Ferro collided with his own goalkeeper. He was carried off on a stretcher in a conscious and seemingly alert state, to applause from the crowd, having received treatment on the field for several minutes.
Depay went off at halftime as a precautionary measure for a thigh strain, and Lyon lacked a cutting edge without him.
"He felt some pain behind his thigh," Garcia said. "He wanted to carry on playing but that was out of the question."
Benfica grew in confidence with Depay off the field and pulled a goal back through striker Haris Seferovic's low shot in the 76th, with a video review ruling out a potential offside.
"Maybe Depay going off also helped Benfica to play better because we lost our leader in attack," Garcia said, adding. "Regarding Memphis, we'll know more (about his injury) on Wednesday."
With the Portuguese side pushing for an equalizer, Lyon substitute Bertrand Traoré made sure of the win with an angled finish in the 89th.