Depressed patients often show altered circadian rhythms, sleep disturbances, and diurnal mood variation. Decreased latency of rapid eye movement (REM) sleep, reduction in slow wave sleep, and abnormalities in the timing of REM/nonREM sleep cycles have all been reported in patients with major depressive disorder (MDD). It is thus evident that an understanding of the basic mechanisms of sleep regulation is essential, for a better analysis of the pathophysiology of depressive disorders. The aim of this article is to review progress in understanding the mechanisms that underlie circadian and sleep rhythms, and their role in the treatment of depression. Chronotherapies including, bright light exposure, sleep deprivation, melatonin treatment, and social rhythm therapies, may provide novel insights into the development of new pharmacological and behavioral treatment strategies for mood disorders. The novel antidepressant, agomelatine, which combines the properties of a serotonin 5-HT2C antagonist and a melatonergic MT1/MT2 receptor agonist, has been found to be very effective for resetting the disturbed sleep/wake cycle and improving the clinical status of depressed patients. Agomelatine may fill the gap in the current therapeutic armoury, by combining tolerability profile with efficacy, in treating MDD.