Speech-based depression detection has shown promise as an objective diagnostic tool, yet the cross-linguistic robustness of acoustic markers and their neurobiological underpinnings remain underexplored. This study extends Cross-Data Multilevel Attention (CDMA) framework, initially validated on Italian, to investigate these dimensions using a Chinese Mandarin dataset with Electroencephalography (EEG) recordings. We systematically fuse read speech with spontaneous speech across different emotional valences (positive, neutral, negative) to investigate whether emotional arousal is a more critical factor than valence polarity in enhancing detection performance in speech. Additionally, we establish the first neurophysiological validation for a speech-based depression model by correlating its predictions with neural oscillatory patterns during emotional face processing. Our results demonstrate strong cross-linguistic generalizability of the CDMA framework, achieving state-of-the-art performance (F1-score up to 89.6%) on the Chinese dataset, which is comparable to the previous Italian validation. Critically, emotionally valenced speech (both positive and negative) significantly outperformed neutral speech. This comparable performance between positive and negative tasks supports the emotional arousal hypothesis. Most importantly, EEG analysis revealed significant correlations between the model's speech-derived depression estimates and neural oscillatory patterns (theta and alpha bands), demonstrating alignment with established neural markers of emotional dysregulation in depression. This alignment, combined with the model's cross-linguistic robustness, not only supports that the CDMA framework's approach is a universally applicable and neurobiologically validated strategy but also establishes a novel paradigm for the neurophysiological validation of computational mental health models.