A subset of individuals with major depressive disorder (MDD) have impaired adaptive immunity characterized by a greater vulnerability to viral infection and a deficient response to vaccination along with a decrease in the number and/or activity of T cells and natural killer cells (NKC). Nevertheless, it remains unclear which specific subsets of lymphocytes are altered in MDD, a shortcoming we address here by utilizing an advanced fluorescence-activated cell sorting (FACS) method that allows for the differentiation of important functionally-distinct lymphocyte sub-populations. Furthermore, despite evidence that sleep disturbance, which is a core symptom of MDD, is itself associated with alterations in lymphocyte distributions, there is a paucity of studies examining the contribution of sleep disturbance on lymphocyte populations in MDD populations. Here, we measured differences in the percentages of 13 different lymphocytes and 6 different leukocytes in 54 unmedicated MDD patients (partially remitted to moderate) and 56 age and sex-matched healthy controls (HC). The relationship between self-reported sleep disturbance and cell counts was evaluated in the MDD group using the Pittsburgh Sleep Quality Index (PSQI). The MDD group showed a significantly increased percentage of CD127^low/CCR4⁺ T_reg cells, and memory T_reg cells, as well as a reduction in CD56⁺CD16^- (putative immunoregulatory) NKC counts, the latter, prior to correction for body mass index. There also was a trend for higher effector memory CD8⁺ cell counts in the MDD group versus the HC group. Further, within the MDD group, self-reported sleep disturbance was associated with an increased percentage of effector memory CD8⁺ cells but with a lower percentage of CD56⁺CD16^- NKC. These results provide important new insights into the immune pathways involved in MDD, and provide novel evidence that MDD and associated sleep disturbance increase effector memory CD8⁺ and T_reg pathways. Targeting sleep disturbance may have implications as a therapeutic strategy to normalize NKC and memory CD8⁺ cells in MDD.