With the acceleration of social pace and changes in daily routines, the prevalence of comorbid depression and insomnia has shown a significant upward trend. Clinical data indicate that comorbid patients face limitations such as notable drug adverse reactions, low remission rates, and high recurrence rates. Recent studies have revealed that the circadian rhythm system may simultaneously influence sleep architecture and emotional regulation through a multilevel regulatory network of "circadian clock genes-neural circuits-behavioral phenotypes". Starting from the sleep architecture mediated by circadian rhythms, this article explores the mechanisms underlying the comorbidity of depression and insomnia. Through in-depth investigations at multiple levels, including circadian clock genes, neural pathway mechanisms, and clinical phenotypes of depression and insomnia, it uncovers the bidirectional associations between these factors and sleep-wake cycles and emotional regulation. This provides crucial clues for understanding the intrinsic mechanisms of the comorbidity of depression and insomnia, as well as a theoretical framework for developing novel dual-target drugs and individualized therapies, and explores new directions for overcoming current clinical treatment bottlenecks.