With the COVID-19 pandemic causing challenges in hospital admissions globally, the role of home health monitoring in aiding the diagnosis of mental health disorders has become increasingly important. This paper proposes an interpretable machine learning solution to optimise initial screening for major depressive disorder (MDD) in both male and female patients. The data is from the Stanford Technical Analysis and Sleep Genome Study (STAGES). We analyzed 5-min short-term electrocardiogram (ECG) signals during nighttime sleep stages of 40 MDD patients and 40 healthy controls, with a 1:1 gender ratio. After preprocessing, we calculated the time-frequency parameters of heart rate variability (HRV) based on the ECG signals and used common machine learning algorithms for classification, along with feature importance analysis for global decision analysis. Ultimately, the Bayesian optimised extremely randomized trees classifier (BO-ERTC) showed the best performance on this dataset (accuracy 86.32%, specificity 86.49%, sensitivity 85.85%, F1-score 0.86). By using feature importance analysis on the cases confirmed by BO-ERTC, we found that gender is one of the most important factors affecting the prediction of the model, which should not be overlooked in our assisted diagnosis. This method can be embedded in portable ECG monitoring systems and is consistent with the literature results.