The scientific literature on depression detection using electroencephalogram (EEG) signals is extensive and offers numerous innovative approaches. However, these existing state-of-the-art (SOTA) have limitations that hinder their overall efficacy. They rely significantly on datasets with limited scope and accessibility, which introduces potential biases and diminishes generalizability. In addition, they concentrate on analyzing a single dataset, potentially overlooking the inherent variability and complexity of EEG patterns associated with depression. Moreover, certain SOTA methods employ deep learning architectures with exponential time complexity, resulting in computationally intensive and time-consuming training procedures. Therefore, their practicability and applicability in real-world scenarios are compromised. To address these limitations, a novel integrated methodology that combines the advantages of phase space reconstruction and deep neural networks is proposed. It employs publicly available EEG datasets, mitigating the inherent biases of exclusive data sources. Moreover, the method incorporates reconstructed phase space analysis, a feature engineering technique that captures more accurately the complex EEG patterns associated with depression. Simultaneously, the incorporation of a deep neural network component guarantees optimal efficiency and accurate, seamless classification. Using publicly available datasets, cross-dataset validation, and a novel combination of reconstructed phase space analysis and deep neural networks, the proposed method circumvents the shortcomings of current state-of-the-art (SOTA) approaches. This innovation represents a significant advance in enhancing the accuracy of depression detection and provides the base for EEG-based depression assessment tools applicable to real-world settings. The findings of the study provide a more robust and efficient model, which increases classification precision and decreases computing burden. The study findings layout the foundation for scalable, accessible mental health solutions, identification of the pathological deficits in affected brain tissues, and demonstrate the potential of technology-driven approaches to support and guide depressed individuals and enhance mental health outcomes.