The aims of this study were to investigate the associations of major depressive disorder (MDD) and its subtypes (atypical, melancholic, combined, unspecified) with actigraphy-derived measures of sleep, physical activity and circadian rhythms; and test the potentially mediating role of sleep, physical activity and circadian rhythms in the well-established associations of the atypical MDD subtype with Body Mass Index (BMI) and the metabolic syndrome (MeS). The sample consisted of 2317 participants recruited from an urban area, who underwent comprehensive somatic and psychiatric evaluations. MDD and its subtypes were assessed via semi-structured diagnostic interviews. Sleep, physical activity and circadian rhythms were measured using actigraphy. MDD and its subtypes were associated with several actigraphy-derived variables, including later sleep midpoint, low physical activity, low inter-daily stability and larger intra-individual variability of sleep duration and relative amplitude. Sleep midpoint and physical activity fulfilled criteria for partial mediation of the association between atypical MDD and BMI, and physical activity also for partial mediation of the association between atypical MDD and MeS. Our findings confirm associations of MDD and its atypical subtype with sleep and physical activity, which are likely to partially mediate the associations of atypical MDD with BMI and MeS, although most of these associations are not explained by sleep and activity variables. This highlights the need to consider atypical MDD, sleep and sedentary behavior as cardiovascular risk factors.