Altered electroencephalographic (EEG) sleep patterns are among the most prominent neurobiological findings in depression. Several of these alterations have been suggested to be associated with an unfavorable long-term outcome. However, the impact of pathological sleep parameters on a more recurrent course of illness or vice versa still warrants clarification. Underlying mechanisms may involve systems known to be related to both sleep regulation and long-term course of depression such as the hypothalamic-pituitary-adrenocortical (HPA) axis. Thus, EEG sleep profiles of patients with depression were examined to determine whether (1) the retrospective clinical course of depression, and (2) the prospective long-term outcome in follow-up are associated with EEG sleep parameters. To elucidate related mechanisms HPA system functioning was evaluated by using the combined DEX/CRH test. Fifteen patients with affective disorders who participated in an earlier controlled antidepressant treatment study over 6 weeks were consecutively enrolled in an exploratory follow-up study. The retrospective analysis revealed that during the acute state of depression predominantly sleep continuity measures were associated with the number of previously experienced episodes. While this relation disappeared during treatment and did not correlate with the prospective course, decreased slow wave sleep variables especially in the first sleep period and increased rapid eye movement density were predictive for the occurrence of recurrences in follow-up and, hence, probably reflect more trait-like markers. Additionally, EEG sleep variables unfavorable for long-term outcome were related to excessive stress hormone response in the DEX/CRH-test. These disturbances may reflect important mechanisms responsible of causing and maintaining the disease process of depression.