World Health Organization (WHO) has identified depression as a significant contributor to global disability, creating a complex thread in both public and private health. Electroencephalogram (EEG) can accurately reveal the working condition of the human brain, and it is considered an effective tool for analyzing depression. However, manual depression detection using EEG signals is time-consuming and tedious. To address this, fully automatic depression identification models have been designed using EEG signals to assist clinicians. In this study, we propose a novel automated deep learning-based depression detection system using EEG signals. The required EEG signals are gathered from publicly available databases, and three sets of features are extracted from the original EEG signal. Firstly, spectrogram images are generated from the original EEG signal, and 3-dimensional Convolutional Neural Networks (3D-CNN) are employed to extract deep features. Secondly, 1D-CNN is utilized to extract deep features from the collected EEG signal. Thirdly, spectral features are extracted from the collected EEG signal. Following feature extraction, optimal weights are fused with the three sets of features. The selection of optimal features is carried out using the developed Chaotic Owl Invasive Weed Search Optimization (COIWSO) algorithm. Subsequently, the fused features undergo analysis using the Self-Attention-based Gated Densenet (SA-GDensenet) for depression detection. The parameters within the detection network are optimized with the assistance of the same COIWSO. Finally, implementation results are analyzed in comparison to existing detection models. The experimentation findings of the developed model show 96% of accuracy. Throughout the empirical result, the findings of the developed model show better performance than traditional approaches.