Major depressive disorder (MDD) is a complex mood disorder. While much progress has been made in understanding the pathophysiology of MDD, no single mechanism can explain all facets of this disorder. Several studies show that disturbances in biological rhythms can lead to the development of MDD. Indeed, insomnia or hypersomnia are symptoms included in the MDD diagnostic criteria. Clinical studies and meta-analyses showed a strong relationship between MDD and sleep disorders. Sleep disorder and MDD are associated with activation in the hypothalamicpituitary- adrenal (HPA) axis and inflammation. The increase in inflammatory response can activate the kynurenine pathway, decrease serotonin synthesis, and affect other factors involved in the pathophysiology of neuropsychiatric conditions. Moreover, sleep disorders and MDD can change the gut microbiota and alter the microbiota-gut-brain axis. Thus, this review discusses the relationship between MDD, circadian rhythms, and sleep disorders, describing the potential pathophysiological mechanism shared in these conditions. In addition, therapeutic opportunities based on antiinflammatory, antioxidant, HPA axis regulatory, and synapse-modulating actions are raised. For the article search, we used the PubMed database. Both sleep disorders and changes in biological rhythms have a bidirectional relationship with MDD. Although some pathophysiological mechanisms, including inflammation, changes in the gut microbiota, and decreased neuroplasticity, may be involved in the relationship between sleep, circadian rhythms, and MDD, other mechanisms are not yet well understood. Therapeutic opportunities based on anti-inflammatory, antioxidant, HPA regulatory axis, and synapse modulating actions appear to be promising targets in preventing MDD, circadian rhythm disturbances, and sleep disorders.