Several electroencephalogram (EEG) biomarkers for prediction of drug response in major depressive disorder (MDD) have been proposed, but validations in larger independent datasets are missing. In the current study, we investigated the prognostic value of previously suggested EEG biomarkers. We gathered data that matched prior studies in terms of EEG methodology, clinical criteria for MDD, and statistical approach as closely as possible. The NeuroPharm study is a non-randomized and open label prospective clinical trial. One hundred antidepressant free patients with MDD were enrolled in the study and 79 (57 female) were included in the per-protocol analysis. The biomarkers candidates for cross-validation were derived from prior studies such as iSPOT-D and EMBARC and include frontal and occipital alpha power and asymmetry and delta and theta activity at anterior cingulate cortex (ACC). The alpha asymmetry, reported in two out of six prior studies, could be partially validated. We found that in female patients, larger right than left frontal alpha power prior to drug treatment was associated with better clinical outcome 8 weeks later. Moreover, female non-responder had higher central left alpha power relative to the right. In contrast to prior reports, we found that lower theta activity at ACC was present in remitters and was associated with greater improvement at week 8. We provide evidence that in women with MDD, alpha asymmetry seems to be the most promising EEG biomarker for prediction of treatment response. Registration number: NCT02869035.