Research has shown that therapeutic sleep deprivation (SD) has rapid antidepressant effects in the majority of depressed patients. Investigation of factors preceding and accompanying these effects may facilitate the identification of the underlying biological mechanisms. This exploratory study aimed to examine clinical and genetic factors predicting response to SD and determine the impact of SD on illness course. Mood during SD was also assessed via visual analogue scale. Depressed inpatients (n = 78) and healthy controls (n = 15) underwent ~36 h of SD. Response to SD was defined as a score of ≤ 2 on the Clinical Global Impression Scale for Global Improvement. Depressive symptom trajectories were evaluated for up to a month using self/expert ratings. Impact of genetic burden was calculated using polygenic risk scores for major depressive disorder. In total, 72% of patients responded to SD. Responders and non-responders did not differ in baseline self/expert depression symptom ratings, but mood differed. Response was associated with lower age (p = 0.007) and later age at life-time disease onset (p = 0.003). Higher genetic burden of depression was observed in non-responders than healthy controls. Up to a month post SD, depressive symptoms decreased in both patients groups, but more in responders, in whom effects were sustained. The present findings suggest that re-examining SD with a greater focus on biological mechanisms will lead to better understanding of mechanisms of depression.