This paper presents a deep learning approach for depressive episode detection on mobile devices, called DL4DED. It is based on a convolutional neural network and a long short-term memory network to identify the status of a patient's voice extracted from spontaneous phone calls. To run DL4DED on mobile devices, two neural network model compression techniques are used: quantization and pruning. DL4DED protects data privacy, since it can be executed on a patient's smartphone. Our proposal is validated on the DAIC-WOZ database. The obtained results show that the accuracy of DL4DED with model compression is only slightly lower than the accuracy of DL4DED without model compression. Furthermore, our experiments indicate that the power consumption of DL4DED is reasonably low.