Sleep disturbance is a symptom consistently found in major depression and is associated with a longer course of illness, reduced response to treatment, increased risk of relapse and recurrence. Chronic insomnia has been associated with changes in cortisol and serum brain-derived neurotrophic factor (BDNF) levels, which in turn are also changed in major depression. Here, we evaluated the relationship between sleep quality, salivary cortisol awakening response (CAR), and serum BDNF levels in patients with sleep disturbance and treatment-resistant major depression (n = 18), and in a control group of healthy subjects with good (n = 21) and poor (n = 18) sleep quality. We observed that the patients had the lowest CAR and sleep duration of all three groups and a higher latency to sleep than the healthy volunteers with a good sleep profile. Besides, low CAR was correlated with more severe depressive symptoms and worse sleep quality. There was no difference in serum BDNF levels between groups with distinct sleep quality. Taken together, our results showed a relationship between changes in CAR and in sleep quality in patients with treatment-resistant depression, which were correlated with the severity of disease, suggesting that cortisol could be a physiological link between sleep disturbance and major depression.