Sleep is a universal biological behavior that to this day remains unclear. There is a lack of consensus concerning sleep’s underlying function, making it a controversial matter. Throughout the years, many theories have been formulated with the purpose to uncover the reasons why we sleep. The Energy Allocation theory of sleep offers some answers concerning the function of sleep and the reason behind the constant alternation between different sleep stages. Orexins and Melanin-Concentrating Hormone (MCH) act as regulators of the sleep - wake cycle while there is evidence that they are associated with psychiatric disorders such as depression. This review covers prominent sleep theories, sleep regulators and their connection with the psychopathology of depression as well as possible novel treatments.