Recent functional connectivity (FC) studies have proved the potential value of resting-state functional magnetic resonance imaging (rs-fMRI) in the study of major depressive disorder (MDD); yet, the rs-fMRI-based individualized diagnosis of MDD is still challenging. We enrolled 82 treatment-naïve first episode depression (FED) adults and 72 matched normal control (NC). A computer-aided diagnosis framework was utilized to classify the FEDs from the NCs based on the features extracted from not only traditional "low-order" FC networks (LON) based on temporal synchronization of original rs-fMRI signals, but also "high-order" FC networks (HON) that characterize more complex functional interactions via correlation of the dynamic (time-varying) FCs. We contrasted a classifier using HON feature (CHON) and compared its performance with using LON only (CLON). Finally, an integrated classification model with both features was proposed to further enhance FED classification. The CHON had significantly improved diagnostic accuracy compared to the CLON (82.47% vs. 67.53%). Joint classification further improved the performance (83.77%). The brain regions with potential diagnostic values mainly encompass the high-order cognitive function-related networks. Importantly, we found previously less-reported potential imaging biomarkers that involve the vermis and the crus II in the cerebellum. We only used one imaging modality and did not examine data from different subtypes of depression. Depression classification could be significantly improved by using HON features that better capture the higher-level brain functional interactions. The findings suggest the importance of higher-level cerebro-cerebellar interactions in the pathophysiology of MDD. Copyright © 2019. Published by Elsevier B.V.