This research focuses on the depression states classification of EEG signals using the EEGNet model optimized with Optuna. The purpose was to increase model performance by combining data from healthy and depressed subjects, which ensured model robustness across datasets. The methodology comprised the construction of a preprocessing pipeline, which included noise filtering, artifact removal, and signal segmentation. Additive extraction from time and frequency domains further captured important features of EEG signals. The model was developed on a merged dataset (DepressionRest and MDD vs. Control) and evaluated on an independent dataset, 93.27% (±0.0610) accuracy with a 34.16 KB int8 model, ideal for portable EEG diagnostics. These results are promising in terms of model performance and depression state-of-the-art classification accuracy. The results suggest that the hyperparameter-optimized Optuna model performs adequately to cope with the variability of real-world data. Furthermore, the model will need improvement before generalization to other datasets, such as the DepressionRest dataset, can be realized. The research identifies the advantages of EEGNet models and optimization using Optuna for clinical diagnostics, with remarkable performance for deployed real-world models. Future work includes the incorporation of the model into portable clinical systems while ensuring compatibility with current EEG devices, as well as the continuous improvement of model performance.