The rental property went into foreclosure, who do I sue for my deposit?

A change in ownership doesn't erase the deposit obligation, it just moves with the property. Whoever holds possession, the bank, a new buyer, whoever ends up owning the building, generally inherits the duty to return what you're owed.

The practical wrinkle is figuring out who to actually name in your claim when ownership changed mid-dispute. The safe move is naming both the former landlord and whoever currently owns the property, that way you're not stuck arguing about which one is responsible while the case sits unresolved.