Yes you can make this into one query, even a one liner. I'm not sure that you need to but you could do it any of these ways.
var depotPermission = WmsUser.WmsUserGroup.WmsUserGroupDepotCollection
.SingleOrDefault(x=>x.DepotId==boundObject.DepotId)
.WmsUserGroupDepotPermissionCollection
.SingleOrDefault(p=>p.SectionId== (long)PermissionsSectionEnum.Setup);
Or
var depotPermission = from o in WmsUser.WmsUserGroup.WmsUserGroupDepotCollection
where o.DepotId == boundObject.DepotId
select o.WmsUserGroupDepotPermissionCollection
.SingleOrDefault(x=>x.SectionId == (long)PermissionsSectionEnum.Setup);
Or
var depotPermission = from o in WmsUser.WmsUserGroup.WmsUserGroupDepotCollection
where o.DepotId == boundObject.DepotId
select (from p in o.WmsUserGroupDepotPermissionCollection
where p.SectionId == (long)PermissionsSectionEnum.Setup
select p
);
For your future reference:
101 Linq Samples