Early detection of depression is important to improve human well-being. This paper proposes a new method to detect depression through time-frequency analysis of Internet behaviors. We recruited 728 postgraduate students and obtained their scores on a depression questionnaire (Zung Self-rating Depression Scale, SDS) and digital records of Internet behaviors. By time-frequency analysis, classification models are built to differentiate higher SDS group from lower group, and prediction models are built to identify mental status of depressed group more precisely. Experimental results show classification and prediction models work well, and time-frequency features are effective in capturing the changes of mental health status. Results of this paper are useful to improve the performance of public mental health services.