Cognitive symptoms and sleep disturbance (SD) are common non-mood-related symptoms of major depressive disorder (MDD). In clinical practice, both cognitive symptoms and SD are related to MDD progression. However, there are only a few studies investigating the connection between cognitive symptoms and SD in patients with MDD, and only preliminary evidence suggests a significant association between cognitive symptoms and SD in patients with mood disorders. This study investigates the relationship between cognitive symptoms and sleep quality in patients with major depressive disorder. Patients (n = 20) with MDD were enrolled; their mean Hamilton Depression Scale-17 score was 21.95 (±2.76). Gold standard polysomnography (PSG) was used to assess sleep quality, and the validated THINC-integrated tool (the cognitive screening tool) was used to evaluate cognitive function in MDD patients. Overall, the results showed significant correlations between the cognitive screening tool's total score and sleep latency, wake-after-sleep onset, and sleep efficiency. These findings indicate that cognitive symptoms are associated with poor sleep quality among patients with MDD.