This study is aimed to compare sensitivity of different electroencephalographic (EEG) indicators for detection of depression. The novel EEG spectral asymmetry index (SASI) was introduced based on balance between the powers of two special EEG frequency bands selected lower and higher of the EEG spectrum maximum and excluding the central frequency from the calculations. The efficiency of the SASI was compared to the traditional EEG inter-hemispheric asymmetry and coherence methods. EEG recordings were carried out on groups of depressive and healthy subjects of 18 female volunteers each. The resting eight-channel EEG was recorded during 30 min. The SASI calculated in an arbitrary EEG channel differentiated clearly between the depressive and healthy group (p < 0.005). Correlation between SASI and Hamilton Depression Rating Scale score was 0.7. The EEG inter-hemispheric asymmetry and coherence revealed some trends, but no significant differences between the groups of healthy controls and patients with depressive disorder.