Sleep disturbances are a common yet often overlooked symptom of psychosis that can drastically affect the quality of life and well-being of those living with the condition. Sleep disorders are common in people diagnosed with schizophrenia and have significant negative effects on the clinical course of the illness and the functional outcomes and quality of life of patients. There is a limited number of studies addressing this question in first-episode psychosis (FEP). In this narrative review, we aimed to provide an overview of sleep disorders in populations with FEP and at-risk mental states (ARMS). The review was focused on the various treatments currently used for sleep disorders, including both non-pharmacological and pharmacological treatments. A total of 48 studies were included. We found that sleep disturbances are associated with attenuated psychotic symptoms and other psychopathological symptoms in ARMSs. The association of sleep disturbances with the transition to psychosis has been poorly investigated. Sleep disturbances have an impact on the quality of life and the psychopathological symptoms of people suffering from FEP. The non-pharmacological treatments include cognitive behavioral therapy for insomnia, bright light therapy, cognitive restructuring techniques, sleep restriction therapy, basic sleep hygiene education, and the provision of portable sleep trackers. Other treatments include antipsychotics in acute phases and melatonin. The early intervention in sleep disturbances may improve overall prognosis in emerging psychosis populations.