Sleep represents physiological process which effects are crucial to maintain homeostasis. Sleep disturbances are widely spread within the population worldwide. The loss in quantity or quality of sleep is associated with numerous diseases. Also, sleep disturbances are highly connected to depressive disorders, but exact mechanism of this interaction still remains unknown. Understanding the underlying mechanisms could be the key for treatment of both disorders especially in patients with psychosomatic and psychiatric comorbidities. Therefore, in this article, we will summarize the most recent findings on the connection between sleep disturbances and depressive disorders, including the mechanisms of this interaction