Sleep plays a critical role in orchestrating several cognitive functions. Sleep spindles are particularly at the forefront of studies on the consolidation of cognitive abilities, such as procedural and declarative memory. Despite that major depressive disorder (MDD) has been linked to sleep spindle alterations, their role in MDD pathogenesis and symptomatology (including memory deficits) is still scarcely investigated. Here, we first provide an overview of sleep and sleep spindle alterations in MDD and their potential effects on memory and cognition. Secondly, limited data suggest that sleep spindles deficits in severe MDD might not only lead to cognitive impairments but primarily affect memory consolidation processes during sleep. Furthermore, it seems likely that many sleep spindle related effects are masked by interacting (antidepressant) medication, selection of mixed patient groups with mild symptomatology as well as use of incomprehensive methodology in analyzing sleep. We propose a preliminary model predicting that impairments in sleep spindle related activity during sleep are mainly responsible for memory consolidation deficits in depressed patients, but that medication augmenting sleep spindle activity can enhance and restore sleep-mediated consolidation. Future studies thus need to scrutinize previous findings on sleep spindle effects in MDD.