Sleep complaints and electroencephalographic (EEG) sleep abnormalities are associated with risk for new onset depression, illness severity, treatment outcome, and vulnerability for recurrence of depression. The aim of this study was to evaluate the strength of association between EEG sleep measures and depression symptoms, and to identify the variables that account for the majority of the association. Depression ratings from the Hamilton Rating Scale for Depression and the Beck Depression Inventory and polysomnographic measures were examined in 361 adult outpatients with major depressive disorder. Canonical correlation and serial multiple regression analyses were used to determine the associations between depressive symptoms and sleep measures. Canonical correlation showed a unidimensional relationship between depressive symptoms and sleep measures (R = .55, p < .05). Fifteen depression items and nine sleep measures accounted for 95% of the correlation. Depression variables encompassed a core set of mood, neurovegetative, and cognitive symptoms. Sleep variables were primarily related to delta EEG activity, and this may be reflective of impaired sleep "drive" or heightened arousal during sleep.