Major depressive disorder (MDD) is a highly prevalent and disabling disease. Recent studies have highlighted the interactions between the circadian system and depression and indicate a probable bidirectional relationship between MDD and the circadian system. In clinical practice MDD leads to circadian disturbances, and circadian disorders increase the risk of depression. Recent interest has focused on the use of melatonin and melatonin agonists in the treatment and relapse prevention of MDD. This review summarises the mechanisms of the biological clock and its links with MDD. It looks at the effects of melatonin and melatonin agonists on sleep and on symptoms of depression and focuses on agomelatine, a MT1/MT2 agonist and a 5-HT2C antagonist which combines a chronobiotic and antidepressant action with similar efficacy to fluoxetine, venlafaxine and sertraline. Relapse rates are reduced on agomelatine compared to placebo. Agomelatine is well tolerated and rapid improvements in disturbed sleep are reported by patients. In the light of these studies, the potential role of melatonin agonists in treating MDD and subtypes of MDD is discussed.