SummaryPrevious studies have highlighted the pivotal role of emotional regulation impairment in the progression of depressive and insomnia disorders, individually. Nevertheless, to date, no study has undertaken a direct comparison of the emotional profiles in individuals experiencing insomnia with or without major depressive episode (MDE). In this study, our objective was to closely examine multiple aspects of emotional regulation among individuals experiencing insomnia, with or without concurrent depression. This descriptive observational study involved 57 participants, comprising 27 individuals with comorbid chronic insomnia and MDE, and 30 with chronic insomnia alone. All participants completed self‐questionnaires assessing aspects of emotional regulation: the Affect Intensity Measure (intensity), Affective Lability Scale (lability), Temperament Evaluation of Memphis Pisa Paris and San Diego Autoquestionnaire (temperament), Cognitive Emotion Regulation Questionnaire (cognitive strategies), and Multidimensional Assessment of Thymic States (reactivity). There were statistically significant differences between the group with insomnia with MDE and insomnia without MDE in terms of anxiety/depression lability. Discrepancies also manifested in terms of activation or inhibition in motor activity and motivation. Additionally, a noteworthy variance in cognitive strategies for emotional regulation was observed, specifically in self‐blame and catastrophising. From a cognitive perspective, patients with insomnia and a MDE exhibited a greater inclination towards self‐blame and catastrophising, in contrast to those with insomnia only. Behaviourally, the former group demonstrated heightened inhibition of motivation and motor activity. These findings underscore the importance of larger‐scale investigations to validate these insights and pave the way for clinical prospects centred around emotional regulation, ultimately fostering personalised treatments for insomnia.