Dynamics of the Fermi-Pasta-Ulam (FPU) system on a two-dimensional square lattice is considered in the limit of small-amplitude long-scale waves with slow transverse modulations. In the absence of transverse modulations, dynamics of such waves, even at an oblique angle with respect to the square lattice, is known to be described by the Korteweg-de Vries (KdV) equation. For the three basic directions (horizontal, vertical, and diagonal), we prove that the modulated waves are well described by the Kadomtsev-Petviashvili (KP-II) equation. The result was expected long ago but proving rigorous bounds on the approximation error turns out to be complicated due to the nonlocal terms of the KP-II equation and the vector structure of the FPU systems on two-dimensional lattices. We have obtained these error bounds by extending the local well-posedness result for the KP-II equation in Sobolev spaces and by controlling the error terms with energy estimates. The bounds are useful in the analysis of transverse stability of solitary and periodic waves in two-dimensional FPU systems due to many results available for the KP-II equation.