Treatment resistance, medication non-adherence, and side effects of pharmacotherapeutics make treatment difficult in major depressive disorder. Sleep deprivation is a fast-acting and tolerable reinforcement treatment method. In this study, we investigated the effects of late partial sleep deprivation (PSD) therapy added to venlafaxine treatment on symptoms of anxiety and depression, sleep quality and treatment process. This study was conducted in a sample of 40 patients who were admitted to our inpatient psychiatric unit with a diagnosis of major depressive disorder. While the venlafaxine (Ven) group received only venlafaxine treatment, the venlafaxine+partial sleep deprivation (Ven+PSD) group underwent late partial sleep deprivation therapy three times in the first week in addition to venlafaxine treatment. The Hamilton Anxiety Rating Scale (HAM-A), Hamilton Depression Rating Scale (HAM-D), Beck Depression Inventory, Pittsburgh Sleep Quality Index, and Insomnia Severity Index (ISI) were administered to both groups at the baseline and at the end of the 1st, 4th, and 6th weeks and, additionally, Profile of Mood State (POMS) was administered to the Ven+PSD group before and after each PSD. The Ven+PSD group had lower HAM-D and HAM-A scores than the Ven group at the end of the 1st and 6th week. Both anxiety and depression subscale scores on the POMS showed a significant decrease after PSD in the Ven+PSD group. The mean venlafaxine dose (mg/d) was significantly lower in the Ven+PSD group than in the Ven group. Late partial sleep deprivation is a fast-acting and tolerable therapy in major depressive disorder.