The cortico-striatal-pallidal-thalamic and limbic circuits are suggested to play a crucial role in the pathophysiology of depression. Stimulation of deep brain targets might improve symptoms in treatment-resistant depression. However, a better understanding of connectivity properties of deep brain structures potentially implicated in deep brain stimulation (DBS) treatment is needed. Using high-density EEG, we explored the directed functional connectivity at rest in 25 healthy subjects and 26 patients with moderate to severe depression within the bipolar affective disorder, depressive episode, and recurrent depressive disorder. We computed the Partial Directed Coherence on the source EEG signals focusing on the amygdala, anterior cingulate, putamen, pallidum, caudate, and thalamus. The global efficiency for the whole brain and the local efficiency, clustering coefficient, outflow, and strength for the selected structures were calculated. In the right amygdala, all the network metrics were significantly higher (p < 0.001) in patients than in controls. The global efficiency was significantly higher (p < 0.05) in patients than in controls, showed no correlation with status of depression, but decreased with increasing medication intake (R-2 = 0.59 and p = 1.52e-05). The amygdala seems to play an important role in neurobiology of depression. Practical treatment studies would be necessary to assess the amygdala as a potential future DBS target for treating depression.