Depression is a heterogeneous syndrome that impacts an individual's emotional, social, cognitive and bodily functioning. Depression is associated with biases in emotional processing, but alterations in basic sensory processing have received less attention in depression research. Here, we measured event-related potentials (ERPs) in response to changes in the intensity of auditory stimuli and the location of somatosensory stimuli in participants with depression and in non-depressed control participants. We tested whether auditory mismatch negativity, P3a or N1 intensity dependence response or somatosensory mismatch response, P3a, P50 or N80 can dissociate depressed participants and non-depressed controls, and we also analysed the effects of depression medication and age in this sample. N1 intensity dependence response was increased in unmedicated depressed participants relative to non-depressed controls. When age was controlled for in the analysis, the effect of depression was only at a trend level. N1 intensity dependence response correlated with depression severity at the whole sample level. We did not observe any depression-related alterations in auditory mismatch negativity or P3a or somatosensory ERPs. Our results may reflect an association between the N1 intensity dependence response and altered neurotransmitter activity in depression, but this should be confirmed in future studies.