The auditory steady-state response (ASSR) is an auditory evoked potential that occurs in response to periodically presented auditory stimuli. The ASSR has drawn attention as a biomarker of psychiatric disorders owing to its connection with neural oscillations as well as its easy and noninvasive recording. Abnormalities in the γ band ASSR have been found consistently in patients with schizophrenia and bipolar disorder. However, although major depressive disorder (MDD) is also part of the common psychiatric diseases, the relationship between the ASSR and MDD has not been characterized sufficiently. Thus, the aim of the present study was to examine the ASSRs from patients with MDD and compare them with those from healthy control (HC) participants. The experiment was designed to obtain the ASSRs elicited by 20-, 30-, and 40-Hz click trains. Patients and HCs were evaluated separately. The response power and phase synchronization were measured at each stimulation frequency. Patients with MDD showed significantly reduced ASSR power for 30-Hz stimuli compared with HC participants, whereas no significant differences in the power were observed at 20 and 40 Hz for patients with MDD. In addition, no significant difference in the phase synchronization was observed for 20-, 30-, and 40-Hz stimuli. Conclusively, patients with MDD were characterized by deficits in 30-Hz ASSR power, which may be associated with spontaneous γ activity dysfunction. The present findings suggest that ASSR could potentially be used as a biomarker for MDD.