Sleep disruption is common in older adults and has been linked to many negative health outcomes, including impaired cognitive, emotional, and interpersonal functioning and maladaptive metabolic changes. Sleep disturbance is the most common symptom in depressive patients, and it was formerly thought to be a major secondary manifestation of depression. Many longitudinal studies have identified insomnia as an independent risk factor for the development of emerging or recurrent depression in older adults, with bidirectional relationships between sleep quality and depression. This narrative review summarizes recent research or evidence on the sleep–depression association in older adults, as well as the potential common mechanisms underlying the comorbidity of sleep and depression disorders, focusing on the clock system, neurochemical substrates, and neurocircuits. A better understanding of the pathophysiological mechanisms underlying sleep disturbance and depression can assist psychiatrists in better managing this comorbidity.