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Major depressive disorder (MDD) is a serious and heterogeneous psychiatric disorder that needs accurate diagnosis. Resting-state functional MRI (rsfMRI), which captures multiple perspectives on brain structure, function, and connectivity, is increasingly applied in the diagnosis and pathological research of MDD. Different machine learning algorithms are then developed to exploit the rich information in rsfMRI and discriminate MDD patients from normal controls. Despite recent advances reported, the MDD discrimination accuracy has room for further improvement. The generalizability and interpretability of the discrimination method are not sufficiently addressed either. Here, we propose a machine learning method (MFMC) for MDD discrimination by concatenating multiple features and stacking multiple classifiers. MFMC is tested on the REST-meta-MDD data set that contains 2428 subjects collected from 25 different sites. MFMC yields 96.9% MDD discrimination accuracy, demonstrating a significant improvement over existing methods. In addition, the generalizability of MFMC is validated by the good performance when the training and testing subjects are from independent sites. The use of XGBoost as the meta classifier allows us to probe the decision process of MFMC. We identify 13 feature values related to 9 brain regions including the posterior cingulate gyrus, superior frontal gyrus orbital part, and angular gyrus, which contribute most to the classification and also demonstrate significant differences at the group level. The use of these 13 feature values alone can reach 87% of MFMC’s full performance when taking all feature values. These features may serve as clinically useful diagnostic and prognostic biomarkers for MDD in the future.