Classifying mental stress is important as it helps in identifying the type and severity of stress, which can inform the most appropriate treatment or intervention. In this study, we propose utilizing electroencephalography (EEG) signals with convolutional neural networks (CNNs) to classify four mental states: rest, control-alert, stress and stress mitigation. The mental stress state was induced using Stroop color word test (SCWT) with time constrains and was then mitigated using 16 Hz Binaural beat stimulation (BBs). We quantified the four mental states using the reaction time (RT) to stimuli, accuracy of target detection, subjective score, and functional connectivity images of EEG estimated by Phase Locking Value (PLV). Our results show that, the SCWT reduced the accuracy of target detection by 70% with (F= 24.56, p = .00001), and the BBs improved the accuracy by 28% (F= 4.54, p = .00470). The functional connectivity network showed different patterns between the frontal/occipital and parietal regions, under the four mental states. The proposed CNNs with PLV images differentiated between the four mental states with highest classification performance at beta frequency band with 80.95% accuracy, 80.36% sensitivity, 94.75% specificity, 83.63% precision and 81.96% F-score. The overall results suggest that 16 Hz BBs can be used as an effective method to mitigate stress and the proposed CNNs with EEG-PLV images as a promising method for classifying different mental states.