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Explainable artificial intelligence holds a great promise for neuroscience and plays an important role in the hypothesis generation process. We follow-up a recent machine learning-oriented study that constructed a deep convolutional neural network to automatically identify biological sex from EEG recordings in healthy individuals and highlighted the discriminative role of beta-band power. If generalizing, this finding would be relevant not only theoretically by pointing to some specific neurobiological sexual dimorphisms, but potentially also as a relevant confound in quantitative EEG diagnostic practice. To put this finding to test, we assess whether the automatic identification of biological sex generalizes to another dataset, particularly in the presence of a psychiatric disease, by testing the hypothesis of higher beta power in women compared to men on 134 patients suffering from Major Depressive Disorder. Moreover, we construct ROC curves and compare the performance of the classifiers in determining sex both before and after the antidepressant treatment. We replicate the observation of a significant difference in beta-band power between men and women, providing classification accuracy of nearly 77%. The difference was consistent across the majority of electrodes, however multivariate classification models did not generally improve the performance. Similar results were observed also after the antidepressant treatment (classification accuracy above 70%), further supporting the robustness of the initial finding.