Background: The current study aimed at investigating the latent dimensional structure of sleep quality as indexed by the seven components of the Pittsburgh Sleep Quality Index (PSQI), as well as latent covariance structure between sleep quality, circadian preferences and depressive symptoms. Methods: Two hundred twenty-five patients with major depressive disorder (MDD), with an average age of 29.92 ± 10.49 years (aged between 17 and 63), participated in the study. The PSQI, Morningness–Eveningness Questionnaire (MEQ) and Beck Depression Inventory (BDI) were administered to participants. Four sets of latent class analyses were subsequently run to obtain optimal number of latent classes best fit to the data. Results: Mixture models revealed that sleep quality is multifaceted in MDD. The data best fit to four-latent-class model: Poor Habitual Sleep Quality (PHSQ), Poor Subjective Sleep Quality (PSSQ), Intermediate Sleep Quality (ISQ), and Good Sleep Quality (GSQ). MDD patients classified into GSQ latent class (23.6%) reported the lowest depressive symptoms and were more prone to morningness diurnal preferences compared to other three homogenous sub-groups. Finally, the significant association between eveningness diurnal preferences and depressive symptomatology was significantly mediated by poor sleep quality. Limitation: The cross-sectional nature of the study and the lack of an objective measurement of sleep such as polysomnography recordings was the most striking limitation of the study. Conclusions: We concluded sleep quality in relation to circadian preferences and depressive symptoms has a heterogeneous nature in MDD.