Mental workload (MW) assessment has been widely studied in various human–machine interaction tasks. The existing researches on MW classification mostly use non-invasive electroencephalography (EEG) caps to collect EEG signals and identify MW levels. However, the activation region of the brain stimulated by MW tasks is not the same for every subject. It may be inappropriate to use EEG signals from all electrode channels to identify MW. In this paper, an EEG rhythm energy heatmap is first established to visually show the change trends in the energy of four EEG rhythms with time, EEG channels and MW levels. It can be concluded from the presented heatmaps that this change trend varies with subjects, rhythms and channels. Based on the analysis, a double threshold method is proposed to select sensitive channels for MW assessment. The EEG signals of personalized selected channels, named positive sensitive channels (PSCs) and negative sensitive channels (NSCs), are used for MW classification using the Support Vector Machine (SVM) algorithm. The results show that the selection of personalized sensitive channels generally contributes to improving the performance of MW classification.