The film, directed by Scott Cooper, is based on Dick Lehr and Gerard O'Neill's 2001 book Black Mass: The True Story Of An Unholy Alliance Between The FBI And The Irish Mob.
The 52-year-old actor said Bulger - a member of the Boston mob known as the Winter Hill Gang - declined to meet him in person.
He explained: "The first thing I did, I contacted Bulger's lawyer Jay Carney to request the opportunity to meet James Bulger, to hear his take ... and to be able to study him."
"Jimmy" declined the request because he was not a fan of the book but Depp said Carney was "very helpful with regards to the heart of Bulger, the heart of the man."
Depp - who arrived with wife Amber Heard at the film's Canadian premiere - said he wanted to show a "human" side to Bulger.
"My intention was not to go out and create someone who is evil, because I don't think any of us wake up in the morning, shave and brush our teeth and think, 'I'm so evil, I'm so horrible'.
"I approached James Bulger as a human being who is multi-faceted and had a side to him that was human, loving and all that. And then he's in this business - certain businesses out there, where the language of that work is violence, so that's the only way I could approach it."
- PAA