Sleep disturbances not only commonly occur in major depressive disorder, but constitute one of the symptom criteria. Importantly, there is growing inference that sleep disturbances may be more than a symptomatic byproduct of depression; poor sleep may play a role in the development or clinical course of depression, or both. This article reviews the prevalence of the two major classes of sleep disorders, the insomnias and the sleep-disordered breathing disorders, as they pertain to depression. Beyond prevalence, the empirical evidence reviewed suggests that insomnia is a risk factor for depression and that obstructive sleep apnea (OSA) is highly associated with depression. Preliminary evidence indicates that OSA may also be a risk factor for this disorder. The implications of these findings for the treatment of sleep disturbances either prior to or in the context of depression are discussed.