The balanced processing of the internal mental world and the external world is a crucial aspect of everyday well-being. An extensive control of the internal emotional and cognitive world that often results in an internal expression of distress is a common feature of internalizing disorders. However, how depression affects the processing of the external world is still an open question. We, therefore, tested the processing of visual signals in major depressive disorder (MDD). To this end, we recorded the electroencephalogram of 38 MDD patients and 38 controls, while they performed a response-choice task with informative feedback and a passive viewing task. MDD patients differed significantly from controls in the early information processing of visual stimuli. The vertex positive potential (VPP) evoked by feedback in the response-choice task and pictures in the passive viewing task were smaller in MDD patients than in controls. This outcome suggests that depression might subtract attentional resources from external signal processing, with potential consequences in various cognitive domains.