The human brain is characterized by complex structural, functional connections that integrate unique cognitive characteristics. There is a fundamental hurdle for the evaluation of both structural and functional connections of the brain and the effects in the diagnosis and treatment of neurodegenerative diseases. Currently, there is no clinically specific diagnostic biomarker capable of confirming the diagnosis of major depressive disorder (MDD). Therefore, exploring translational biomarkers of mood disorders based on deep learning (DL) has valuable potential with its recently underlined promising outcomes. In this article, an electroencephalography (EEG)-based diagnosis model for MDD is built through advanced computational neuroscience methodology coupled with a deep convolutional neural network (CNN) approach. EEG recordings are analyzed by modeling 3 different deep CNN structure, namely, ResNet-50, MobileNet, Inception-v3, in order to dichotomize MDD patients and healthy controls. EEG data are collected for 4 main frequency bands (Delta, theta, alpha, and beta, accompanying spatial resolution with location information by collecting data from 19 electrodes. Following the pre-processing step, different DL architectures were employed to underline discrimination performance by comparing classification accuracies. The classification performance of models based on location data, MobileNet architecture generated 89.33% and 92.66% classification accuracy. As to the frequency bands, delta frequency band outperformed compared to other bands with 90.22% predictive accuracy and area under curve (AUC) value of 0.9 for ResNet-50 architecture. The main contribution of the study is the delineation of distinctive spatial and temporal features using various DL architectures to dichotomize 46 MDD subjects from 46 healthy subjects. Exploring translational biomarkers of mood disorders based on DL perspective is the main focus of this study and, though it is challenging, with its promising potential to improve our understanding of the psychiatric disorders, computational methods are highly worthy for the diagnosis process and valuable in terms of both speed and accuracy compared with classical approaches.