Major depressive disorder (MDD) is a mental disorder that causes a persistent feeling of sadness and loss of interest. It affects how you feel, think and behave and can lead to a variety of emotional and physical problems. Previous investigated the MDD has primarily focused on interpreting the abnormal functional connectivity of different brain regions, rather than entire brain networks. Although recent studies have found depression-related abnormalities functional connectivity of the brain networks, it is not clear the certain brain regions or the various functional networks as a whole are involved in the emotional dysregulation of depression. Moreover, abnormal functional connectivity regions are well replicated research, however, default mode network (DMN) and executive control network (ECN) haven't received adequately examined in MDD. To address the above issues, in this paper, we adopt sparse inverse covariance estimation (SICE) approach to investigate the functional connectivity both DMN and ECN. Our experimental results show functional connectivity of ECN have significantly changed in MDD, where the anterior cingulate cortex (ACG.R) region and the thalamus region (THA.R) have shown increased functional connectivity compared with normal control, the superior frontal gyrus (SFGmed.R) region has shown decreased functional connectivity. Moreover, the precuneus lobule (PCUN.L) region and posterior cingulate cortex (PCG.L) of DMN have shown increased functional connectivity. These results may suggest that MDD is associated with large-scale functional networks, rather than the portions of brain regions. These changed functional connectivity may provide more neuroimaging biomarker for MDD diagnosis.