Insomnia and daytime sleepiness are often associated with depression. The possible relationships between sleep difficulties and depression are numerous. Insomnia and other sleep disturbances can be precursors to the onset of major depressive disorder, so they may act as risk factors for or predictors of depression. The symptomatology of depression also prominently includes insomnia, and sleep disturbances may be residual symptoms after response to antidepressant treatment. Insomnia and the resultant daytime sleepiness may be short-term or long-term side effects of antidepressant treatment as well. Whether insomnia is a precursor, symptom, residual symptom, or side effect of depression or its treatment, clinicians must give serious attention to and attempt to resolve sleep disturbances because of the risk of depression onset, worsening of depressive symptoms, and relapse of depression after response to antidepressant treatment. Remission of depression cannot be fully achieved until the associated insomnia and daytime sleepiness are resolved. This article describes the relationships between insomnia and depression and discusses the effects of various antidepressants on sleep. Finally, several different treatment options, including antidepressant monotherapy and augmentation of antidepressants with other medications, are explored.