Depression and insomnia are intimately related. Depressed patients usually manifest sleep discontinuity and early awakening, reduced or no slow wave sleep (SWS) and shortened latency of rapid eye movement (REM) sleep. These sleep abnormalities are very similar to those caused by over activated hypothalamic-pituitary-adrenal (HPA) axis with stress. Therefore, the animal models developed by post-traumatic stress disorder or chronic unpredictable mild stress could be used to evaluate drugs which have effects of both anti-depression and improvement of sleep quality, and to provide a more reliable platform for further studis on the mechanisms of depression and accompanied insomnia. This review mainly focuses on the typical features of sleep disturbance of depression, possible pathophysiological mechanisms, establishment of animal stress models and analysis of their abnormal sleep characteristics.