Background: Examining the relationship between sleep and depression may be important for understanding the aetiology of affective disorders. Most studies that use electroencephalography (EEG) to objectively assess sleep have been conducted using polysomnography in the laboratory. Impaired sleep continuity, including prolonged sleep latency and changes in rapid eye movement (REM) sleep, have been reported to be associated with depression in clinical settings. Here, we aimed to use home EEG to analyse the association between sleep and depressive symptoms. Methods: We performed a cross-sectional epidemiological study in a large Japanese working population to identify the EEG parameters associated with depressive symptoms based on the results of a questionnaire survey and home EEG measurements using 1-channel (1-Ch) EEG. Results: The study included 650 Japanese patients (41.2% male, 44.7 ± 11.5 years) who underwent home EEG monitoring along with the Patient Health Questionnaire-9 (PHQ-9) to assess depressive symptoms. Logistic regression analysis revealed that depressive symptoms (PHQ-9 ≥ 10) were associated with sleep latency (odds ratio (OR) 1.02; 95% confidence interval (CI): 1.00–1.04) and REM latency (OR, 0.99; 95% CI: 0.99–1.00). Conclusions: Our results suggest that depressive symptoms are associated with prolonged sleep latency and reduced REM latency in a Japanese working population. The 1-Ch EEG may be a useful tool to monitor sleep and screen depression/depressive symptoms in non-clinical settings.