Nowadays, major depressive disorder (MDD) has become a crucial mental disease that endangers human health. Good results have been achieved by electroencephalogram (EEG) signals in the detection of depression. However, EEG signals are time-varying, and the distributions of the different subjects’ data are non-uniform, which poses a bad influence on depression detection. In this paper, the deep learning method with domain adaptation is applied to detect depression based on EEG signals. Firstly, the EEG signals are preprocessed and then transformed into pictures by two methods: the first one is to present the three channels of EEG separately in the same image, and the second one is the RGB synthesis of the three channels of EEG. Finally, the training and prediction are performed in the domain adaptation model. The results indicate that the domain adaptation model can effectively extract EEG features and obtain an average accuracy of 77.0 ± 9.7%. This paper proves that the domain adaptation method can effectively weaken the inherent differences of EEG signals, making the diagnosis of different users more accurate.