Deep learning techniques have recently made considerable advances in the field of artificial intelligence. These methodologies can assist psychologists in early diagnosis of mental disorders and preventing severe trauma. Major Depression Disorder (MDD) is a common and serious medical condition whose exact manifestations are not fully understood. So, early discovery of MDD patients helps to cure or limit the adverse effects. Electroencephalogram (EEG) is prominently used to study brain diseases such as MDD due to having high temporal resolution information, and being a noninvasive, inexpensive and portable method. This paper has proposed an EEG-based deep learning framework that automatically discriminates MDD patients from healthy controls. First, the relationships among EEG channels in the form of effective brain connectivity analysis are extracted by Generalized Partial Directed Coherence (GPDC) and Direct directed transfer function (dDTF) methods. A novel combination of sixteen connectivity methods (GPDC and dDTF in eight frequency bands) was used to construct an image for each individual. Finally, the constructed images of EEG signals are applied to the five different deep learning architectures. The first and second algorithms were based on one and two-dimensional convolutional neural network (1DCNN-2DCNN). The third method is based on long short-term memory (LSTM) model, while the fourth and fifth algorithms utilized a combination of CNN with LSTM model namely, 1DCNN-LSTM and 2DCNN-LSTM. The proposed deep learning architectures automatically learn patterns in the constructed image of the EEG signals. The efficiency of the proposed algorithms is evaluated on resting state EEG data obtained from 30 healthy subjects and 34 MDD patients. The experiments show that the 1DCNN-LSTM applied on constructed image of effective connectivity achieves best results with accuracy of 99.24% due to specific architecture which captures the presence of spatial and temporal relations in the brain connectivity. The proposed method as a diagnostic tool is able to help clinicians for diagnosing the MDD patients for early diagnosis and treatment.