The growth of biomedical engineering has made depression diagnosis via electroencephalography (EEG) a trendy issue. The two significant challenges to this application are EEG signals’ complexity and non-stationarity. Additionally, the effects caused by individual variances may hamper the generalization of detection systems. Given the association between EEG signals and particular demographics, such as gender and age, and the influences of these demographic characteristics on the incidence of depression, it would be preferable to include demographic factors during EEG modeling and depression detection. The main objective of this work is to develop an algorithm that can recognize depression patterns by studying EEG data. Following a multiband analysis of such signals, machine learning and deep learning techniques were used to detect depression patients automatically. EEG signal data are collected from the multi-modal open dataset MODMA and employed in studying mental diseases. The EEG dataset contains information from a traditional 128-electrode elastic cap and a cutting-edge wearable 3-electrode EEG collector for widespread applications. In this project, resting EEG readings of 128 channels are considered. According to CNN, training with 25 epoch iterations had a 97% accuracy rate. The patient’s status has to be divided into two basic categories: major depressive disorder (MDD) and healthy control. Additional MDD include the following six classes: obsessive-compulsive disorders, addiction disorders, conditions brought on by trauma and stress, mood disorders, schizophrenia, and the anxiety disorders discussed in this paper are a few examples of mental illnesses. According to the study, a natural combination of EEG signals and demographic data is promising for the diagnosis of depression.