Internet gaming disorder (IGD) has many comorbid psychiatric problems including major depressive disorder (MDD). In the present study, we compared the neurobiological differences between MDD without comorbidity (MDD-only) and MDD comorbid with IGD (MDD+IGD) by analyzing the quantitative electroencephalogram (QEEG) findings. We recruited 14 male MDD+IGD (mean age, 20.0 ± 5.9 years) and 15 male MDD-only (mean age, 20.3 ± 5.5 years) patients. The electroencephalography (EEG) coherences were measured using a 21-channel digital EEG system and computed to assess synchrony in the frequency ranges of alpha (7.5–12.5 Hz) and beta (12.5–35.0 Hz) between the following 12 electrode site pairs: inter-hemispheric (Fp1–Fp2, F7–F8, T3–T4, and P3–P4) and intra-hemispheric (F7–T3, F8–T4, C3–P3, C4–P4, T5–O1, T6–O2, P3–O1, and P4–O2) pairs. Differences in inter- and intra-hemispheric coherence values for the frequency bands between groups were analyzed using the independent t-test. Inter-hemispheric coherence value for the alpha band between Fp1–Fp2 electrodes was significantly lower in MDD+IGD than MDD-only patients. Intra-hemispheric coherence value for the alpha band between P3–O1 electrodes was higher in MDD+IGD than MDD-only patients. Intra-hemispheric coherence values for the beta band between F8–T4, T6–O2, and P4–O2 electrodes were higher in MDD+IGD than MDD-only patients. There appears to be an association between decreased inter-hemispheric connectivity in the frontal region and vulnerability to attention problems in the MDD+IGD group. Increased intra-hemisphere connectivity in the fronto-temporo-parieto-occipital areas may result from excessive online gaming.