Depression has been described as a process of behavioural withdrawal from overwhelming aversive stressors, and which manifests itself in the diagnostic symptomatology for Major Depressive Disorder (MDD). The underlying neurobiological pathways to that behavioural withdrawal are suggested to include greater activation in the right vs the left frontal lobes, described as frontal EEG asymmetry. However, despite a previous meta-analysis that provided overall support for this EEG asymmetry hypothesis, inconsistencies and several methodological confounds exist. The current review examines the literature on this issue, identifies inconsistencies in findings and discusses several key research issues that require addressing for this field to move towards a defensible theoretical model of depression and EEG asymmetry. In particular, the position of EEG asymmetry in the brain, measurement of severity and symptoms profiles of depression, and the effects of gender are considered as potential avenues to more accurately define the specific nature of the depression-EEG asymmetry association.