The pathogenesis of depression is complex, and the current means of medical diagnosis is single. Patients with severe depression may even have great physical pain and suicidal tendencies. Magnetoencephalography (MEG) has the characteristics of ultrahigh spatiotemporal resolution and safety. It is a good medical means for the diagnosis of depression. In this paper, multivariate transfer entropy algorithm is used to study MEG of depression. In this paper, the subjects are divided into the same brain region and the multichannel combination between different brain regions, and the multivariate transfer entropy of patients with depression and healthy controls under different EEG signal frequency bands is calculated. Finally, the significant difference between the two groups of experimental samples is verified by the results of independent sample t-test. The experimental results show that for the same combination of brain channels, the multivariate transfer entropy in the depression group is generally lower than that in the healthy control group, and the difference is the best in γ frequency band and the largest in the frontal region.