We sought to investigate the risk of incident major depressive disorder (MDD) attributable to a range of sleep disorders in the Danish population. Data were obtained by linking longitudinal Danish population-based registers. A total of 65,739 individuals who had first onset of depression between 1995 and 2013 were selected as cases. For each case, a set of 20 controls of the same sex, birth month and year and who had not had depression by the date that the case was diagnosed were selected at random form the population (N = 1,307,580 in total). We examined whether there was an increased rate of prior sleep disorders in MDD cases compared to controls using conditional logistic regression. An increased risk of incident depression in cases was found for all sleep disorders analyzed. Highest incidence rate ratios (IRRs) were found for circadian rhythm disorders (IRR = 7.06 [2.78–17.91]) and insomnia of inorganic origin (IRR = 6.76 [4.37–10.46]). The lowest estimated IRR was for narcolepsy (IRR = 2.00 [1.26–3.17]). Those diagnosed with a sleep disorder in the last 6 months were at highest risk of developing depression compared to those with at least 1 year since diagnosis (3.10 vs. 2.36). Our results suggest that having any sleep disorder is a risk factor for incident depression. Depression screening should be considered for patients with sleep disorders, and where possible, long-term follow-up for mental health problems is advisable.