After a 2-month evaluation period, eight women with moderate to severe premenstrual depression and eight age- and sex-matched controls underwent sleep electroencephalographic (EEG) and temperature recordings 2 nights a week over the course of one menstrual cycle. Overall, patients had more Stage 2 (%) sleep and less rapid eye movement (REM) sleep (% and minutes) than normal controls. Stage 3 sleep and number of intermittent awakenings varied with phases of the menstrual cycle. Temperature minima were earlier in patients compared with controls, but this difference was not statistically significant, and there was no significant effect of menstrual cycle phase on the timing of temperature minima. Wrist motor activity did not change during the menstrual cycle in patients or controls. Thus, in this sample of women with premenstrual depression, we did not find sleep EEG alterations similar to those reported in some patients with major depressive disorder. In light of the small number of subjects and the large individual variability, the absence of marked changes with the menstrual cycle may be a function of a Type II error.