Insomnia exhibits a clinically relevant relationship with major depressive disorder (MDD). Increasing evidence suggests that insomnia is associated with neurobiological alterations that resemble the pathophysiology of MDD. However, research in a clinical population is limited. The present study, therefore, aimed to investigate the relationship between insomnia and the main pathophysiological mechanisms of MDD in a clinical sample of individuals with MDD. Data were extracted from three cohorts (N = 227) and included an evaluation of depression severity (Quick Inventory of Depressive Symptomatology, QIDS-SR16) and insomnia severity (QIDS-SR16 insomnia items) as well as serum and urine assessments of 24 immunologic (e.g., tumour necrosis factor α receptor 2 and calprotectin), neurotrophic (e.g., brain-derived neurotrophic factor and epidermal growth factor), neuroendocrine (e.g., cortisol and aldosterone), neuropeptide (i.e., substance P), and metabolic (e.g., leptin and acetyl-L-carnitine) biomarkers. Linear regression analyses evaluating the association between insomnia severity and biomarker levels were conducted with and without controlling for depression severity (M = 17.32), antidepressant use (18.9%), gender (59.0% female; 40.5% male), age (M = 42.04), and the cohort of origin. The results demonstrated no significant associations between insomnia severity and biomarker levels. In conclusion, for the included biomarkers, current findings reveal no contribution of insomnia to the clinical pathophysiology of MDD.