The almost ubiquitous sleep disturbances in patients with depression commonly, but not always, subside with the remission of depression. Evidence linking insomnia with the risk of relapses in recurrent depression, as well as suicide, makes optimization of the treatment of insomnia associated with depression a priority. However, most antidepressant agents do not adequately address the sleep complaints in depression: their effects on sleep range from sizeable improvement to equally significant worsening. One approach to the management of insomnia associated with depression is to choose a sedating antidepressant agent such as trazodone, mirtazapine or agomelatine. A second approach is to start with a non-sedating antidepressant (e.g. the selective serotonin reuptake inhibitors, bupropion, venlafaxine or duloxetine); those with a persistent or treatment-emergent insomnia can be switched to a more sedating antidepressant, or offered a hypnotic or cognitive-behavioural therapy as adjunctive treatment. The review discusses the advantages and disadvantages of all treatment options, pharmacological and otherwise.