The early diagnosis of depression is often impeded by the subjectivity inherent in traditional clinical assessments. To advance objective screening, this study proposes a lightweight neural network framework designed to discriminate between pathological depressive states and non-pathological transient negative emotions using EEG signals. Diverging from conventional methods that rely on single-domain features, we construct a comprehensive multi-domain feature space via Wavelet Packet Decomposition. Specifically, the framework integrates frequency (α/β power spectral density ratio), spatial (normalized α-asymmetry), and non-linear (Sample Entropy) attributes to capture the heterogeneous neurophysiological dynamics of depression. To effectively synthesize these diverse features, a multi-head additive attention mechanism is introduced. This mechanism empowers the model to adaptively recalibrate feature weights, thereby prioritizing the most discriminative patterns associated with the disorder. Experimental validation on the DEAP (negative emotion) and HUSM (major depressive disorder) datasets demonstrates that the proposed method achieves a classification accuracy of 92.2% and an F1-score of 93%. Comparative results indicate that our model significantly outperforms baseline SVM and standard deep learning approaches. Furthermore, the architecture exhibits high computational efficiency and rapid convergence, highlighting its potential as a deployable engine for real-time mental health monitoring in clinical scenarios.