Sleep problems and depression are both common and have a high impact on quality of life. They are also strongly associated and commonly occur together. During the reproductive age, both sleep problems and depression are almost twice as common in women than men. Epidemiological studies show that women experience more sleep problems and depressive symptoms around times when sex hormones change, such as puberty and menopause, but it is unclear what effect sex hormones have on sleep problems and depression. This systematic review aims to summarize and evaluate studies that investigated the relationship between sex hormones, sleep and depression. Systematic search resulted in 2895 articles, of which 13 met inclusion criteria. Depressed patients showed worse sleep than controls, but no significant difference in endogenous hormone levels was found. Additionally, higher endogenous estrogen was associated with better sleep in controls, but associations between endogenous sex hormones and depressive symptoms were inconclusive. More research on the effect of sex hormones on sleep and depression is necessary.