Electroencephalography (EEG) signals are known to be nonstationary and often multicomponential signals containing information about the condition of the brain. Since the EEG signal has complex, nonlinear, nonstationary, and highly random behaviour, numerous linear feature extraction methods related to the short-time windowing technique do not satisfy higher classification accuracy. Since biosignals are highly subjective, the symptoms may appear at random in the time scale and very small variations in EEG signals may depict a definite type of brain abnormality it is valuable and vital to extract and analyze the EEG signal parameters using computers. The challenge is to design and develop signal processing algorithms that extract this subtle information and use it for diagnosis, monitoring, and treatment of subjects suffering from psychiatric disorders. For this purpose, finite impulse response–based filtering process was employed rather than traditional time and frequency domain methods. Finite impulse response subbands were analyzed further to obtain feature vectors of different entropy markers and these features were fed into a classifier namely multilayer perceptron. The performances of the classifiers were finally compared considering overall classification accuracies, area under receiver operating characteristic curve scores. Our results underline the potential benefit of the introduced methodology is promising and is to be treated as a clinical interface in dichotomizing substance use disorders subjects and for other medical data analysis studies. The results also indicate that entropy estimators can distinguish normal and opioid use disorder subjects. EEG data and theta frequency band have distinctive capability for almost all types of entropies while nonextensive Tsallis entropy outperforms compared with other types of entropies.