It has been hypothesized that non-rapid eye movement (NREM) sleep facilitates declarative memory consolidation, and rapid eye movement (REM) sleep is particularly important in promoting procedural learning. The aim of this study was to examine the effects of pharmacological REM sleep suppression on performance in different neuropsychological tasks. For our baseline, we chose 41 moderately depressed patients (age range 19–44 years), who were not taking antidepressants. In the morning after polysomnography, we tested memory recall and cognitive flexibility by assessment of verbal and figural fluency, a shift of attention task and the Trail Making Test B. After recording baseline values, patients were assigned randomly to one of three treatment groups: medication with citalopram; medication with reboxetine; or exclusive treatment with psychotherapy. Retesting took place 1 week after onset of treatment. The main results were: (1) an association of slow-wave sleep with verbal memory performance at baseline; (2) a suppression of REM sleep in patients taking citalopram and reboxetine; (3) no differences regarding neuropsychological performance within the treatment groups; and (4) no association of REM sleep diminution with decreases in memory performance or cognitive flexibility in patients treated with citalopram or reboxetine. In line with other studies, our results suggest that there are no negative effects of a decrease in REM sleep on memory performance in patients taking antidepressants.