Sleep disturbances are well-known symptoms of major depressive disorder (MDD). However, the prospective risk of MDD in the presence of sleep disturbances in a general population-based cohort is not well known. This study investigated associations between both polysomnography (PSG)-based or subjective sleep features and incident MDD. Participants representative of the general population who had never had MDD completed sleep questionnaires (n = 2000) and/or underwent PSG (n = 717). Over 8 years' follow-up, participants completed psychiatric interviews enabling the diagnosis of MDD. Survival Cox models were used to analyze associations between sleep features and MDD incidence. A higher Epworth Sleepiness Scale and presence of insomnia symptoms were significantly associated with a higher incidence of MDD (hazard ratio [HR] [95 % confidence interval (CI)]: 1.062 [1.022-1.103], p = 0.002 and 1.437 [1.064-1.940], p = 0.018, respectively). Higher density of rapid eye movements in rapid eye movement (REM) sleep was associated with a higher incidence of MDD in men (HR 1.270 [95 % CI 1.064-1.516], p = 0.008). In women, higher delta power spectral density was associated with a lower MDD incidence (HR 0.674 [95 % CI 0.463-0.981], p = 0.039). This study confirmed the associations between subjective and objective sleep features and the incidence of MDD in a large community dwelling cohort.