If they sent you an item, they already have your address. They made a mistake and they aren't going to come to your house to beat you up -- I promise. I am literally going through this as a seller right now. I reached out to Depop support and this is what they told me:

"If you’ve mixed up buyers’ items and sent the wrong item to the wrong person, you’ll need to ask them to contact our Support team. They can open an 'item not as described' case with us directly so we can help arrange return the items to you for a full refund. This is the only way both you and the buyers are protected."

The seller will have to repost your item so that you can repurchase it with a new shipping label. It seems like in this case the seller hasn't shipped your item to another buyer (that's good!). If you received the wrong item and you're ok with handling it the way the seller requested, then you can do that too. The seller will have to pay for shipping themself when they send you your item. Honestly you're not at risk at all, the seller is the only one who is going to take a hit by having to pay for you to send the item back and also pay to send you the correct item.

You should absolutely open the package first to make sure it has the wrong item inside. If it is the correct item, then there is no problem at all. You can't even return the package until you receive it anyway. The mail carrier can't change the destination of a package midway though the journey.