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 subjects, was constructed. The electroencephalogram 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 feature space. Four classification methods distinguished the depressed participants from normal controls. The classifiers’ performances were evaluated using 10-fold cross-validation. The results showed thatK-Nearest Neighbor had the highest accuracy of 79.27%. The result also suggested that the absolute power of the theta wave might be a valid characteristic for discriminating depression. This study proves the feasibility of a pervasive three-electrode EEG acquisition system for depression diagnosis. (shrink)