Background/Objectives: Depression is a major disorder that has been described in terms of its underlying neurological characteristics, often measured via EEG. However, almost all previous research into the EEG correlates of depression has used a unitary model of Major Depressive Disorder (MDD), whereas there is strong evidence that MDD is heterogeneous in its symptomatology and neurological underpinnings. Methods: To investigate the EEG signatures of four subtypes of depression defined according to the previous literature, the Zung Self-rating Depression Scale was administered to 54 male and 46 female volunteers (M age = 32.53 yr). EEG data were collected during an Eyes Closed condition and examined for differences in connectivity across brain networks in the alpha- and beta-bands. Results: The results were examined in terms of the number and direction of connectivity differences between depressed and non-depressed participants within each depression subtype, the alpha- and beta-band connectivities, the regions of the brain that were connected, and the possible functional reasons why specific brain regions were differently connected for depressed and non-depressed participants within each MDD subtype. Conclusions: The results suggested some differences in the alpha- and beta-band connectivity between some of the MDD subtypes that are worth considering as representing different neurological signatures across the depression subtypes. These findings represent an initial challenge to defining depression as a unitary phenomenon, and suggest possible benefits for further research into the underlying neurological phenomena of depression subtypes.