There are few studies that explore the relationship of neuroendocrine hormones of the HPA, HPT and HPG axes with major depressive disorder (MDD) with comorbid obstructive sleep apnea (OSA). The aim of this study is to examine neuroendocrine abnormalities and the relationship in untreated first episode patients of MDD comorbided with OSA. Polysomnography, neuroendocrine hormones were determined for 111 patients. After excluding the influences of age and BMI, phase I in non-REM sleep (N1)% increased significantly in MDD with OSA when compared with non-OSA. In the OSA group, cortisol increased and exceeded the normal standard, and for the numbers of patients exceeding the normal range, there were significant difference between two groups. In MDD with OSA, adrenocorticotropic hormone was significantly negatively correlated with slow wave sleep (SWS)%, while thyroxine was significantly correlated with phase II in non-REM sleep (N2)%, and prolactin was significantly negatively correlated with N1%. This study revealed that for untreated first episode MDD patients with OSA, the HPA axis was hyperfunctional. Cortisol and adrenocorticotropic hormone may be increased along with disturbed sleep structure and less slow-wave sleep time. Concurrently prolactin was decreased and thyroxine increased during the N1 and N2 phase of sleep.Copyright © 2020 Elsevier B.V. All rights reserved.