Anhedonia stands as a core symptom and potential trait marker of major depressive disorder (MDD). The importance of rapid eye movement sleep latency (REML) as a biological marker of depression has previously and repeatedly been studied. The aim of this paper is to analyse the relationship between anhedonia and REML in moderately to severely depressed patients. The shortened Beck Depression Inventory (BDI-13) was chosen to assess depressive symptoms and, among them, more particularly, anhedonic symptoms. Two-way ANCOVA was used for statistical analyses. A significant association between anhedonic symptoms and REML was found when the number of sleep cycles (NCy) and the severity of depression were added as covariates. Our findings suggest that REML may be a useful variable to differentiate some diagnostic subtypes of depression related to anhedonia.