Facial micro-expressions are spontaneous, subtle, involuntary muscle movements occurring briefly on the face. The spotting and recognition of these expressions are difficult due to the subtle behavior, and the time duration of these expressions is about half a second, which makes it difficult for humans to identify them. These micro-expressions have many applications in our daily life, such as in the field of online learning, game playing, lie detection, and therapy sessions. Traditionally, researchers use RGB images/videos to spot and classify these micro-expressions, which pose challenging problems, such as illumination, privacy concerns and pose variation. The use of depth videos solves these issues to some extent, as the depth videos are not susceptible to the variation in illumination. This paper describes the collection of a first RGB-D dataset for the classification of facial micro-expressions into 6 universal expressions: Anger, Happy, Sad, Fear, Disgust, and Surprise. This paper shows the comparison between the RGB and Depth videos for the classification of facial micro-expressions. Further, a comparison of results shows that depth videos alone can be used to classify facial micro-expressions correctly in a decision tree structure by using the traditional and deep learning approaches with good classification accuracy. The dataset will be released to the public in the near future.