Depression and schizophrenia are two psychiatric diseases with high co-morbidity. For this reason, it is important to find sensitive endophenotypes, which may disentangle the two disorders. The Shine-Through paradigm, a visual backward masking task, is a potential endophenotype for schizophrenia. Masking is strongly deteriorated in schizophrenia patients, which is reflected in reduced EEG amplitudes. Here, we tested whether masking deficits and associated EEG changes are also found in patients with major depressive disorder. First, we replicated previous findings showing that depressive patients exhibit, at most, only weak masking deficits. Second, we found that the EEG amplitudes of depressive patients were reduced compared to controls and slightly increased compared to schizophrenia patients. As a secondary analysis, we compared the performance in the masking paradigm with three cognitive tasks, namely: the Wisconsin card sorting test, a verbal fluency WA and a degraded continuous performance test. Performance in all but the verbal fluency test could discriminate schizophrenia from depression.