Depression is the result of a complex interaction of social, psychological and physiological elements. Research into the brain disorders of patients suffering from depression can help doctors to understand the pathogenesis of depression and facilitate its diagnosis and treatment. Functional near-infrared spectroscopy (fNIRS) is a non-invasive approach to the detection of brain functions and activities. In this paper, a comprehensive fNIRS-based depression-processing architecture, including the layers of source, feature and model, is first established to guide the deep modeling for fNIRS. In view of the complexity of depression, we propose a methodology in the time and frequency domains for feature extraction and deep neural networks for depression recognition combined with current research. It is found that compared to non-depression people, patients with depression have a weaker encephalic area connectivity and lower level of activation in the prefrontal lobe during brain activity. Finally, based on raw data, manual features and channel correlations, the AlexNet model shows the best performance, especially in terms of the correlation features and presents an accuracy rate of 0.90 and a precision rate of 0.91, which is higher than ResNet18 and machine-learning algorithms on other data. Therefore, the correlation of brain regions can effectively recognize depression (from cases of non-depression), making it significant for the recognition of brain functions in the clinical diagnosis and treatment of depression.