Classical analysis of the spontaneous sleep EEG in depressive disorder commonly reveals alterations of sleep continuity, number of awakenings, slow-wave sleep, and REM sleep compared to healthy controls; however, conventional analysis can not help understand dynamic differences of the sleep EEG during different sleep stages. In order to elicit qualitative alterations of information processing between depressives and healthy controls, we measured late components of auditory and visual evoked potentials (AEPs and VEPs) during different sleep stages of 15 depressive inpatients and in a sex- and age-matched control group from scalp positions Fz, Cz and Pz. According to linear system theory, we then computed the amplitude frequency characteristic (AFC) from averaged AEPs and VEPs in different sleep stages. These AFCs describe the input/output relation of the system under study leading to a characterization of the transfer properties of the brain during sleep in depression. Our investigations showed that information processing appears characteristically altered in depression during non-REM sleep for both auditory and visual stimulation compared to healthy controls. The transfer properties for processing auditory as well as visual information during REM sleep do not appear dynamically impaired in depressive disorder.