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Sleep electroencephalographic (EEG) abnormalities and increased hypothalamo-pituitary-adrenal (HPA) axis activity are the most prominent neurobiological findings in depression and were suggested as potential biomarker for depression. In particular, increased rapid eye movement sleep (REM) density, deficit in slow wave sleep and excessive stress hormone response are associated with an unfavorable long-term outcome of depression. Recent studies indicate that the sleep and endocrine parameters are related to each other. This study investigated the association of sleep structure including a quantitative EEG analysis with the results of the combined dexamethasone (Dex)/corticotropin-releasing hormone (CRH)-test in 14 patients with a severe major depression, 21 healthy probands with a positive family history of depression (HRPs) and 12 healthy control subjects without personal and family history for psychiatric disorders. As expected patients with depression showed an overactivity of the HPA axis, disturbed sleep continuity and prolonged latency until slow wave sleep in the first sleep cycle. Differences in microarchitecture of sleep were less prominent and restricted to a higher NonREM sigma power in the HRP group. Dexamethasone suppressed cortisol levels were positively associated with higher NonREM sigma power after merging the three groups. We also observed an inverse association between the ACTH response to the Dex/CRH-test and rapid eye movement sleep (REM) density in HRPs, with suggestive evidence also in patients, but not in controls. This contra-intuitive finding might be a result of the subject selection (unaffected HRPs, severely depressed patients) and the complementarity of the two markers. HRPs and patients with high disease vulnerability, indicated by an elevated REM density, seem to have a lower threshold until an actual disease process affecting the HPA axis translates into depression, and vice versa. To summarize, our findings provide further evidence that the HPA axis is involved in the sleep regulation in depression. These associations, however, are not unidimensional, but dependent on the kind of sleep parameters as well as on the selection of the subjects.