Sleep disturbance is common in major depressive disorder (MDD), and is often characterized by early-morning waking. Melatonin is a hypnotic and synchronizes circadian rhythms. It may also be an antidepressant. The melatonin agonists, ramelteon and agomelatine, have hypnotic and antidepressant properties, but there is a dearth of trials investigating the use of melatonin in MDD. This randomized, controlled trial aimed to determine whether exogenous melatonin is a sleep promoter and antidepressant. Thirty-three participants with a Diagnostic and Statistical Manual of Mental Disorders (fourth edition) diagnosis of MDD and early-morning waking were selected for a 4-week, randomized, double-blind trial of slow-release melatonin (6 mg; vs. placebo) given at bedtime over 4 weeks. Sleep was measured subjectively using sleep diaries and the Leeds Sleep Evaluation Questionnaire and objectively using wrist actigraphy. Of the 33 participants, 31 completed the trial. General Linear Modelling showed significant improvements in depression and sleep over time, but this was not specific to melatonin. However, there was a trend towards an improvement in mood with melatonin, and no adverse side effects were observed. In conclusion, melatonin may be beneficial for treating MDD, it seems to be safe and well tolerated, but its potential for treating depression in people who do not wish to take antidepressants requires further evaluation.