Major depressive disorder (MDD) is the leading cause of disability among all mental illnesses with increasing prevalence. The diagnosis of MDD is susceptible to interference by several factors, which has led to a trend of exploring objective biomarkers. Electroencephalography (EEG) is a non-invasive procedure that is being gradually applied to detect and diagnose MDD through some features such as functional connectivity (FC). In this research, we analyzed the resting-state EEG of patients with MDD and healthy controls (HCs) in both eyes-open (EO) and eyes-closed (EC) conditions. The phase locking value (PLV) method was utilized to explore the connection and synchronization of neuronal activities spatiotemporally between different brain regions. We compared the PLV between participants with MDD and HCs in five frequency bands (theta, 4-8 Hz; alpha, 8-12 Hz; beta1, 12-16 Hz; beta2, 16-24 Hz; and beta3, 24-40 Hz) and further analyzed the correlation between the PLV of connections with significant differences and the severity of depression (via the scores of 17-item Hamilton Depression Rating Scale, HDRS-17). During the EO period, lower PLVs were found in the right temporal-left midline occipital cortex (RT-LMOC; theta, alpha, beta1, and beta2) and posterior parietal-right temporal cortex (PP-RT; beta1 and beta2) in the MDD group compared with the HC group, while PLVs were higher in the MDD group in LT-LMOC (beta2). During the EC period, for the MDD group, lower theta and beta (beta1, beta2, and beta3) PLVs were found in PP-RT, as well as lower theta, alpha, and beta (beta1, beta2, and beta3) PLVs in RT-LMOC. Additionally, in the left midline frontal cortex-right temporal cortex (LMFC-RT) and posterior parietal cortex-right temporal cortex (PP-RMOC), higher PLVs were observed in beta2. There were no significant correlations between PLVs and HDRS-17 scores when connections with significantly different PLVs (all p > 0.05) were checked. Our study confirmed the presence of differences in FC between patients with MDD and healthy individuals. Lower PLVs in the connection of the right temporal-left occipital cortex were mostly observed, whereas an increase in PLVs was observed in patients with MDD in the connections of the left temporal with occipital lobe (EO), the circuits of the frontal-temporal lobe, and the parietal-occipital lobe. The trends in FC involved in this study were not correlated with the level of depression. The study was limited due to the lack of further analysis of confounding factors and follow-up data. Future studies with large-sampled and long-term designs are needed to further explore the distinguishable features of EEG FC in individuals with MDD.