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Abstract Background Major depressive disorder (MDD) has a high incidence and an unknown mechanism. There are no objective and sensitive indicators for clinical diagnosis. Objective This study explored specific electrophysiological indicators and their role in the clinical diagnosis of MDD using machine learning. Methods Forty first-episode and drug-naïve patients with MDD and forty healthy controls (HCs) were recruited. EEG data were collected from all subjects in the resting state with eyes closed for 10 min. The severity of MDD was assessed by the Hamilton Depression Rating Scale (HAMD-17). Machine learning analysis was used to identify the patients with MDD. Results Compared to the HC group, the relative power of the low delta and theta bands was significantly higher in the right occipital region, and the relative power of the alpha band in the entire posterior occipital region was significantly lower in the MDD group. In the MDD group, the alpha band scalp functional connectivity was overall lower, while the scalp functional connectivity in the gamma band was significantly higher than that in the HC group. In the feature set of the relative power of the ROI in each band, the highest accuracy of 88.2% was achieved using the KNN classifier while using PCA feature selection. In the explanatory model using SHAP values, the top-ranking influence feature is the relative power of the alpha band in the left parietal region. Conclusions Our findings reveal that the abnormal EEG neural oscillations may reflect an imbalance of excitation, inhibition and hyperactivity in the cerebral cortex in first-episode and drug-naïve patients with MDD. The relative power of the alpha band in the left parietal region is expected to be an objective electrophysiological indicator of MDD.