Disturbed sleep is a key symptom in major depressive disorder (MDD). REM sleep alterations are well described in the current literature, but little is known about non-REM sleep alterations. Additionally, sleep disturbances relate to a variety of cognitive symptoms in MDD, but which features of non-REM sleep EEG contribute to this, remains unknown. We comprehensively analyzed non-REM sleep EEG features in two central channels in three independently collected datasets (N = 284 recordings of 216 participants). This exploratory and descriptive study included MDD patients with a broad age range, varying duration and severity of depression, unmedicated or medicated, age- and gender-matched to healthy controls. We explored changes in sleep architecture including sleep stages and cycles, spectral power, sleep spindles, slow waves (SW), and SW-spindle coupling. Next, we analyzed the association of these sleep features with acute measures of depression severity and overnight consolidation of procedural memory. Overall, no major systematic alterations in non-REM sleep architecture were found in patients compared to controls. For the microstructure of non-REM sleep, we observed a higher spindle amplitude in unmedicated patients compared to controls, and after the start of antidepressant medication longer SWs with lower amplitude and a more dispersed SW-spindle coupling. In addition, long-term, but not short-term medication seemed to lower spindle density. Overnight procedural memory consolidation was impaired in medicated patients and associated with lower sleep spindle density. Our results suggest that alterations of non-REM sleep EEG in MDD might be more subtle than previously reported. We discuss these findings in the context of antidepressant medication intake and age.