Most depressed patients suffer from sleep abnormalities, which are one of the critical symptoms of depression. They are robust risk factors for the initiation and development of depression. Studies about sleep electroencephalograms have shown characteristic changes in depression such as reductions in non-rapid eye movement sleep production, disruptions of sleep continuity and disinhibition of rapid eye movement (REM) sleep. REM sleep alterations include a decrease in REM sleep latency, an increase in REM sleep duration and REM sleep density with respect to depressive episodes. Emotional brain processing dependent on the normal sleep-wake regulation seems to be failed in depression, which also promotes the development of clinical depression. Also, REM sleep alterations have been considered as biomarkers of depression. The disturbances of norepinephrine and serotonin systems may contribute to REM sleep abnormalities in depression. Lastly, this review also discusses the effects of different antidepressants on REM sleep disturbances in depression.