Background: Although the relationship between sleep and depression has been studied over the past two decades, findings are inconsistent across the literature. The present study evaluated differences in sleep macroarchitecture between adults with major depressive disorder (MDD) and healthy controls, paying particular attention to sex differences. Method: Sleep macroarchitecture was investigated in 129 adults symptomatic with MDD compared to 62 never-depressed healthy controls. Participants were free of psychiatric medications and were required to maintain a set sleep schedule for the 5 days prior to study. Results: Prolonged sleep latency and increased REM density were observed in participants with MDD relative to healthy controls, but REM latency was longer and there were fewer arousals in the MDD group. Regression analysis differentiated between MDD and HC groups, but only in men. Sex differences were also found in the relationship between clinical course of MDD and sleep variables with stronger correlations between sleep, age of onset and MDD severity in men than in women. Conclusions: Sex differences were observed in the relationship between clinical course of depression and sleep and in differentiating patients form healthy controls, supporting a different pathophysiology of depression in men and women.