To monitor patients with depression, objective diagnostic tools that apply biosignals and exhibit high repeatability and efficiency should be developed. Although different models can help automatically learn discriminative features, inappropriate adoption of input forms and network structures may cause performance degradation. Accordingly, the aim of this study was to systematically evaluate the effects of convolutional neural network (CNN) architectures when using two common electroencephalography (EEG) inputs on the classification of major depressive disorder (MDD). EEG data for 21 patients with MDD and 21 healthy controls were obtained from an open-source database. Five hyperparameters (i.e., number of convolutional layers, filter size, pooling type, hidden size, and batch size) were then evaluated. Finally, Grad-CAM and saliency map were applied to visualize the trained models. When raw EEG signals were employed, optimal performance and efficiency were achieved as more convolutional layers and max pooling were used. Furthermore, when mixed features were employed, a larger hidden layer and smaller batch size were optimal. Compared with other complex networks, this configuration involves a relatively small number of layers and less training time but a relatively high accuracy. Thus, high accuracy (>99%) can be achieved in MDD classification by using an appropriate combination in a simple model.