Growing evidence indicates an association between reduced dream recall and depressive symptomatology. Here, we tested the prediction that reduced dream recall in individuals experiencing major depressive disorder (MDD) is due to alterations in circadian and sleep processes. Nine young healthy women (20–31 years) and eight young unmedicated women (20–31 years) diagnosed with MDD underwent a 40 h multiple nap protocol with ten alternating cycles of 150 min wake/75 min sleep under a stringently controlled circadian laboratory protocol. After each nap, we assessed dream recall, number of dreams and dream emotional load using the Sleep Mentation Questionnaire. Dream recall and the number of dreams did not significantly differ between groups (pFDR > 0.1). However, there was a significant difference for the dream emotional load (interaction of “Group” vs. “Time”, pFDR = 0.01). Women with MDD had a two-fold higher (negative) emotional load as compared to healthy control women, particularly after naps during the circadian night (between ~22:00 h and ~05:00 h; Tukey–Kramer test, p = 0.009). Furthermore, higher (negative) dream emotional load was associated with impaired mood levels in both groups (R2 = 0.71; p < 0.001). Our findings suggest that the circadian and sleep modulation of dreaming may remain intact in unmedicated young women experiencing MDD.