The 23-year-old Dutch worldwide ended an 18-month association with Manchester United in January by joining the seven-time Ligue 1 champions.
Now playing for French Ligue 1 side Olympique Lyon, his primary focus may lie on performing well with Lyon, but Memphis Depay is also thinking long term and is targeting a move to Real Madrid, as per Spanish outlet Marca. Depay has bagged seven goals in 24 Ligue 1 games since January - a far better total already than the two he managed in a season and a half of Premier League football.
Despite having a £35m buy-back fee written in to his contract, the Netherlands worldwide is eager to link up with the Spanish giants in future.
"It is my objective and I hope God will help me to achieve it", the 23-year-old said.
Should Real Madrid start showing interest in signing Depay then Manchester United could have a say in the deal.
"I had very nice times at PSV, but I wanted to reach higher goals in my career".
He added: 'At Lyon I am very happy.
Depay has scored twice and provided three assists this season for the French side this season and will surely have to put up more impressive numbers to seize the attention of those at the Bernabeu.