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The brain's intrinsic activity plays a fundamental role in its function. In normal conditions this activity is responsive to behavioural context, changing as an individual switches between directed tasks and task‐free conditions. A key feature of such changes is the movement of the brain between corresponding critical and sub‐critical states, with these dynamics supporting efficient cognitive processing. Breakdowns in processing efficiency can occur, however, in brain disorders such as depression. It was therefore hypothesised that depressive symptoms would be related to reduced intrinsic activity responsiveness to changes in behavioural state. This was tested in a mixed group of major depressive disorder patients (n = 26) and healthy participants (n = 37) by measuring intrinsic EEG activity temporal structure, quantified with detrended fluctuation analysis (DFA), in eyes‐closed (EC) and eyes‐open task‐free states and contrasting between the conditions. The degree to which DFA values changed between the states was found to correlate negatively with depressive symptoms. DFA values did not differ between states in those with higher symptom levels, meaning that the brain remained in a less flexible sub‐critical condition. This sub‐critical condition in the EC state was further found to correlate with levels of maladaptive rumination. This may reflect a general cognitive inflexibility resulting from a lack in neural activity reactivity that may predispose people to overly engage in self‐directed attention. These results provide an initial link between intrinsic activity reactivity and psychological features found in psychiatric disorders. [ABSTRACT FROM AUTHOR]