Currently, depression has become a common mental disorder and one of the main causes of disability worldwide. Due to the difference in depressive symptoms evoked by individual differences, how to design comprehensive and effective depression detection methods has become an urgent demand. This study explored from physiological and behavioral perspectives simultaneously and fused pervasive electroencephalography (EEG) and vocal signals to make the detection of depression more objective, effective and convenient. After extraction of several effective features for these two types of signals, we trained six representational classifiers on each modality, then denoted diversity and correlation of decisions from different classifiers using co-decision tensor and combined these decisions into the ultimate classification result with multi-agent strategy. Experimental results on 170 (81 depressed patients and 89 normal controls) subjects showed that the proposed multi-modal depression detection strategy is superior to the single-modal classifiers or other typical late fusion strategies in accuracy, f1-score and sensitivity. This work indicates that late fusion of pervasive physiological and behavioral signals is promising for depression detection and the multi-agent strategy can take advantage of diversity and correlation of different classifiers effectively to gain a better final decision.