Major depressive disorder is the main cause of disability among psychiatric disorders worldwide. This surprisingly high burden is related to its high prevalence and its severity. Indeed, depression is often comorbid with somatic as well as psychiatric disorders (particularly suicide, anxiety, and substances), and response to antidepressants is only seen in a minority of patients. Other issues related to the difficulties of treating these patients are the frequency of residual symptoms (mood, fatigue, sleep or appetite disorders) that have been associated with relapses and recurrences. Furthermore, emotional regulation during euthymic periods may be viewed as predictive of subsequent intensity of depressive symptoms. Treatment of depression is a major challenge in daily practice, and researchers need to propose more effective treatments based on innovative approaches. The cyclic nature of depressive illness, the diurnal variations in its symptomatology, and the existence of disturbed sleep-wake and core body temperature rhythms all suggest that dysfunction of the circadian time-keeping system may underlie the pathophysiology of depression. Circadian misalignment of the phase-delayed type appears to be the common shift in unipolar depression and, interestingly, the misalignment between the timing of sleep and the pacemaker is correlated with depressive symptom severity. So, as circadian rhythm disturbances are at the core of depression, their normalizing may be a fruitful avenue for new therapeutic targets in depression.