Insomnia and its opposite hypersomnia are part of the diagnostic criteria for major depressive disorder (MDD). However, no study has investigated whether the postulated sleep alterations in clinical subtypes of MDD are reflected in polysomnography (PSG)-derived objective sleep measures. The objective of this study was to establish associations between the melancholic, atypical and unspecified subtypes of MDD and objective PSG-based sleep features. This cross-sectional analysis included 1820 community-dwelling individuals who underwent PSG and a semi-structured psychiatric interview to elicit diagnostic criteria for MDD and its subtypes. Adjusted robust linear regression was used to assess associations between MDD subtypes and PSG-derived objective sleep measures. Current melancholic MDD was significantly associated with decreased absolute delta power and sleep efficiency and with increased wake after sleep onset. Remitted unspecified MDD was significantly associated with increased rapid eye movements density. No other significant associations were identified. Our findings reflect that some PSG-based sleep features differed in MDD subtypes compared with no MDD. The largest number of significant differences were observed for current melancholic MDD, whereas only rapid eye movements density could represent a risk factor for MDD as it was the only sleep measure that was also associated with MDD in remitted participants.