Lateralized differences in frontal alpha power in individuals with major depressive disorder (MDD) are thought to reflect an aberrant affective processing style. However research into anterior alpha asymmetry and MDD has often produced conflicting results. The current study aimed to investigate whether individualized alpha bandwidths provide a more sensitive measure of anterior alpha asymmetry in MDD than the traditional fixed 8-13 Hz alpha band. Resting EEG was recorded from 34 right-handed female participants (18 controls, 16 MDD). Each participant's Individual Alpha Frequency was used to delineate a broad individualized alpha band and three individualized narrow alpha sub-bands: lower alpha1, lower alpha 2 and upper alpha. Activity within the broad and narrow individualized bandwidths and within the traditional fixed alpha band were used to compare a) controls and acutely depressed individuals and b) medicated and unmedicated MDD participants. Individualizing and subdividing the alpha bandwidth did not add appreciably to the sensitivity of anterior alpha asymmetry in MDD as no significant differences in lateralized alpha power between controls and MDD participants were observed in any alpha bandwidth. This finding was consistent under two reference schemes and across multiple scalp locations. Within the MDD group, antidepressant use was associated with significantly greater right than left hemispheric power in the lower alpha 1 band. The relevance of this finding is discussed in relation to the electrophysiological correlates of antidepressant medication use, lateralized differences in affective processing and treatment resistant MDD.