In recent years, machine learning techniques have been frequently applied to uncovering neuropsychiatric biomarkers with the aim of accurately diagnosing neuropsychiatric diseases and predicting treatment prognosis. However, many studies did not perform cross validation (CV) when using machine learning techniques, or others performed CV in an incorrect manner, leading to significantly biased results due to overfitting problem. The aim of this study is to investigate the impact of CV on the prediction performance of neuropsychiatric biomarkers, in particular, for feature selection performed with high-dimensional features. To this end, we evaluated prediction performances using both simulation data and actual electroencephalography (EEG) data. The overall prediction accuracies of the feature selection method performed outside of CV were considerably higher than those of the feature selection method performed within CV for both the simulation and actual EEG data. The differences between the prediction accuracies of the two feature selection approaches can be thought of as the amount of overfitting due to selection bias. Our results indicate the importance of correctly using CV to avoid biased results of prediction performance of neuropsychiatric biomarkers.