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Nowadays, depression is the world’s major health concern and economic burden worldwide. However, due to the limitations of current methods for depression diagnosis, a pervasive and objective approach is essential. In the present study, a psychophysiological database, containing 213 (92 depressed patients and 121 normal controls) subjects, was constructed. The electroencephalogram (EEG) signals of all participants under resting state and sound stimulation were collected using a pervasive prefrontal‐lobe three‐electrode EEG system at Fp1, Fp2, and Fpz electrode sites. After denoising using the Finite Impulse Response filter combining the Kalman derivation formula, Discrete Wavelet Transformation, and an Adaptive Predictor Filter, a total of 270 linear and nonlinear features were extracted. Then, the minimal‐redundancy‐maximal‐relevance feature selection technique reduced the dimensionality of the …