The capability model of frontal electroencephalographic (EEG) asymmetry suggests that brain activity during emotional challenge will be a more powerful indicator of predispositions toward psychopathology than activity observed at rest. EEG data were assessed during a resting baseline and a facial emotion task, wherein individuals with (n = 143) and without (n = 163) lifetime major depressive disorder (MDD) made approach (angry and happy) and withdrawal (afraid and sad) facial expressions. EEG asymmetry during emotional challenge was a more powerful indicator of MDD status than resting asymmetry for average, Cz, and linked mastoid references, results in support of the capability model. However, current‐source‐density (CSD) transformed asymmetry was indicative of lifetime MDD status under resting and task‐elicited conditions. Findings suggest that CSD‐transformed data may be more robust indicators of trait frontal EEG asymmetry.