SummaryMany patients with depression report insomnia symptoms that profoundly affect their health and well‐being. Non‐pharmacological treatments of insomnia may be preferable for some patients. In this randomised crossover trial, we investigated the efficacy of the Protac Ball Blanket® on insomnia among patients with depression. Included patients (n = 45) were diagnosed with unipolar depression, and with subjective insomnia and poor sleep quality (Pittsburgh Sleep Quality Index Score > 5). Each patient slept 2 weeks with a Protac Ball Blanket® and 2 weeks with a control duvet. Randomisation defined the order of the 2‐week sleep periods. Patients served as their own control in this design. The primary outcome was changes in total night‐time sleep. Secondary outcomes were sleep‐onset latency, number of awakenings, wake after sleep onset, daily use of pro necessitate sedatives and hypnotics, subjective sleep quality (Pittsburgh Sleep Quality Index), insomnia severity (Insomnia Severity Index), symptoms of depression (Hamilton Depression Rating Scale, Major Depression Inventory), symptoms of anxiety (Beck Anxiety Index), and patient‐reported outcomes concerning interpersonal sensitivity, neurasthenia, anxiety and depression (Self‐Reported Symptom State Scale). Paired two‐sided t‐tests were used to compare the means of the differences of the outcomes. Protac Ball Blanket® increased total night‐time sleep by 12.9 min (95% confidence interval: 1.21–24.63, p = 0.031). Among the secondary outcomes, Protac Ball Blanket® decreased Hamilton Depression Rating Scale by 2.78 (95% confidence interval: −5.44; −0.11, p = 0.042) and Insomnia Severity Index by 2.98 (95% confidence interval: −5.45; −0.50, p = 0.020). No changes were observed in sleep‐onset latency, number of awakenings, wake after sleep onset, Pittsburgh Sleep Quality Index, Major Depression Inventory, Beck Anxiety Index, Self‐Reported Symptom State Scale, and medication use. The results suggest that some patients may benefit from Protac Ball Blanket® as an add‐on non‐pharmacological treatment to improve sleep in depression.