"One time I wanted to work on my left foot and crosses, so I was doing extra training with Giggs," said Depay in an interview with the Sunday Times.
"(Van Gaal) led me in his office and said ‘why are you training?’ I said I want to improve my cross with my left foot. He said your crosses are already good, it’s in your head.
"He wasn’t happy I was training extra and things like that make you think as a young guy. At the time I wasn’t playing and had wanted to show how much I want this, that I’d do more than normal to get my chance again."
The 44-times capped Dutch player also believes United suffered under Van Gaal because they were asked to do too much.
"It’s not like you weren’t allowed to dribble or anything. It was just the tasks you had. When you give some players too much information they think too much."
Van Gaal won the FA Cup at United in 2016, but finished fourth and fifth in his two seasons at Old Trafford.