OBJECTIVES Many patients with major depressive disorder (MDD) suffer from chronic pain (CP) and sleep disturbances (SD). Little is known about associations between the use of hypnotics/anxiolytics for these conditions and the use of antidepressants in real-world clinical settings. This study examined the use of hypnotics and anxiolytics, their associations with CP and SD, and initiation of serotonin-norepinephrine reuptake inhibitors (duloxetine and venlafaxine XR) in a large managed-care population of patients with MDD. METHODS A total of 153,913 patients who had at least 1 diagnosis of MDD during the year 2006 were selected from a large commercially insured administrative claims database. The analytic sample consisted of 47,109 (30.6%) males and 106,804 (69.4%) females, with a mean age of 43.6 years (SD=12.7). In accordance with ICD-9-CM, CP was defined as any pain of the following 6 categories: headache, rheumatoid arthritis, osteoarthritis, low back pain, fibromyalgia, and neuropathic pain. Hypnotics/anxiolytics were classified into 3 categories: benzodiazepines (BENZ), non-benzodiazepine hypnotics (NBENZH), and non-benzodiazepine anxiolytics (NBENZA). RESULTS Of the 153,913 patients with MDD, 35.5% had CP; 5.3%, SD; and 7.3%, CP plus SD. Over the 1-year study period, 33.1% of patients were prescribed BENZ; 16.9%, NBENZH; and 6.1%, NBENZA. Of patients with MDD, patients also diagnosed with CP and SD were most frequently prescribed NBENZH, BENZ, and NBENZA (36.4%, 47.7%, 9.6%), followed by patients with SD (30.2%, 36.7%, 6.4% ), CP (18.7%, 39.9%, 7.4%), and MDD only (11.6%, 26.1%, 4.6%). Prior use of BENZ (OR=1.5, 95% CI=1.4-1.6), NBENZH (OR=1.6, 95% CI=1.5-1.7), and NBENZA (OR=1.2, 95% CI=1.1-1.3) was significantly associated with initiation of duloxetine compared with venlafaxine XR. CONCLUSIONS Hypnotics and anxiolytics are commonly used in MDD patients. CP and SD are associated with increased use of hypnotics and anxioloytics in MDD patients. Prior use of hypnotics and anxioloytics may be associated with antidepressant selection.