Background: Study results regarding attentional bias in depressed individuals are inconsistent. Recent studies have found that attention is a discrete process, alternating between periods of either enhanced or diminished attention sensitivity. Whether a visual target can be detected depends on when it occurs relative to these oscillation rhythms. We infer that the inconsistency of attentional bias may be related to the abnormality of attentional oscillations in depressed individuals. Methods: A pre-cueing attentional task was used. We set 48 levels of stimulus onset asynchrony (SOA) between cues and targets and measured the response time (RT) of participants, as well as their EEG signals. Results: The RTs showed patterns of behavioral oscillations. Repeated-measure ANOVA indicated that subthreshold depressed participants had significantly higher RTs for negative expressions than for neutral but significantly lower RTs for positive than for neutral. The frequency analysis indicated that the RT oscillational frequency of subthreshold depressed participants to negative/positive expressions was different from that to neutral. The EEG time–frequency analysis showed that when faced with negative expressions, the intensity of the neural alpha oscillatory power of subthreshold depressed participants was significantly lower than that of normal controls. When faced with positive expressions, the intensity of neural alpha oscillatory power was significantly higher than that of normal controls. Conclusion: Compared to normal persons, subthreshold depressed individuals may have biases in both the amplitude and frequency of attentional oscillations. These attentional biases correspond to the intensity of their neural alpha wave rhythms.