Depp personally unveiled his statue in the mountainous village of Mecavnik while attending a local film and music festival organised by Serbian director Emir Kusturica.
Hundreds of fans waited for more then two hours to get a glimpse of the actor.
As fireworks exploded nearby, Depp removed one national flag after another to uncover a younger statue of himself standing in a blue jacket and grey pants.
Depp had gone to the remote location at the invitation of Sarajevo-born Kusturica, who directed Depp in the 1993 movie "Arizona Dream."
The Serbian director is a two-time Palme d´Or winner for "When Father Was Away on Business" in 1985 and 1995´s "Underground."
Kusturica is planning to shoot his next film about Mexican revolutionary hero Francisco "Pancho" Villa, and Depp, who had won People´s magazine ´sexiest man alive´ title for the second time last year, is to play the leading role.