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The categorization of sleep stages helps to diagnose different sleep-related ailments. In this paper, an entropy-based information–theoretic approach is introduced for the automated categorization of sleep stages using multi-channel electroencephalogram (EEG) signals. This approach comprises of three stages. First, the decomposition of multi-channel EEG signals into sub-band signals or modes is performed using a novel multivariate projection-based fixed boundary empirical wavelet transform (MPFBEWT) filter bank. Second, entropy features such as bubble and dispersion entropies are computed from the modes of multi-channel EEG signals. Third, a hybrid learning classifier based on class-specific residuals using sparse representation and distances from nearest neighbors is used to categorize sleep stages automatically using entropy-based features computed from MPFBEWT domain modes of multi-channel EEG signals. The proposed approach is evaluated using the multi-channel EEG signals obtained from the cyclic alternating pattern (CAP) sleep database. Our results reveal that the proposed sleep staging approach has obtained accuracies of 91.77%, 88.14%, 80.13%, and 73.88% for the automated categorization of wake vs. sleep, wake vs. rapid eye movement (REM) vs. Non-REM, wake vs. light sleep vs. deep sleep vs. REM sleep, and wake vs. S1-sleep vs. S2-sleep vs. S3-sleep vs. REM sleep schemes, respectively. The developed method has obtained the highest overall accuracy compared to the state-of-art approaches and is ready to be tested with more subjects before clinical application.