It is increasingly acknowledged that the diagnosis of major depression encompasses patients who do not necessarily share the same disease biology. Though the diagnostic criteria allow the specification of different subtypes, e.g. melancholic and atypical features, a consensus still has to be reached with regard to the clinical symptoms that clearly delineate these subtypes. Beside clinical characteristics, biological markers may help to further improve identification of biologically distinct endophenotypes and, ultimately, to devise more specific treatment strategies. Alterations of the hypothalamus-pituitary-adrenal (HPA) axis and sleep architecture are not only commonly observed in patients with major depression, but the nature and extent of these alterations can help to identify distinct subtypes. Thus, a HPA overdrive, due to enhanced secretion of corticotropin-releasing hormone (CRH) and an impaired negative feedback via glucocorticoid receptors, seems to be most consistently observed in patients with melancholic features. These patients also show the clearest sleep-electroencephalogram (EEG) alterations, including disrupted sleep, low amounts of slow wave sleep (SWS), a short rapid eye movement (REM) latency and a high REM density. In contrast, patients with atypical features are characterized by reduced activity of the HPA axis and ascending noradrenergic neurons in the locus coeruleus. Though sleep-EEG alterations have been less thoroughly examined in these patients, there are data to suggest that SWS is not reduced and that REM sleep parameters are not consistently altered. While the atypical and melancholic subtypes of major depression may represent the extremes of a spectrum, the distinct clinical features provide an opportunity to further explore biological markers, as well as environmental factors, contributing to these clinical phenotypes. Moreover, dysregulations of the HPA axis and sleep-EEG alterations can also be induced in rodents, thereby allowing alignment of critical biological aspects of a human disease subtype with an animal model. Such "Translational Research" efforts should help to develop targeted therapies for distinct patient populations.