Robert Braber put Willem in front before the break and they seemed poised to become the first team to beat the league leaders domestically since September.
However, Willem shocked them by snatching a half-time lead as Stijn Wuytens provided Braber for his third of the season on 27 minutes.
The incessant PSV pressure ceased for 20 minutes of the second half, but they pegged Willem back again and had a golden opportunity to level the scores when Depay was fouled by Kostas Lamprou in the box.
Lamprou got back on his feet to deny the Netherlands international a 12th goal of the season, but this setback would not deter a relentless Eindhoven side from turning the games on its head late on.
The equaliser came when De Jong teed up Locadia to net his fifth goal in as many starts, and reported Manchester United and Tottenham Hotspur target Depay struck three minutes later to snatch PSV victory and send them nine points clear of Ajax at the top of the table. body check tags ::