The reward system consists of a set of transdiagnostic processes and underlying neurocircuitry that contribute to one’s motivation to pursue rewards, anticipation of pleasure, alterations in reward salience, hedonic capacity, reactivity to environmental reinforcers, and reward learning. The reward system can be parsed into two temporal components: anticipatory (wanting) and consummatory (liking) reward processing. Reward system dysfunction has emerged as a prominent endophenotype of major depressive disorder. Anhedonia, a hallmark symptom of depression, has been associated with dysfunction in the brain’s reward system, particularly in systems involved in anticipatory reward processing. A growing body of literature has also linked deficits in reward system functioning to insomnia, suggesting that insomnia is associated with impairments in both anticipatory and consummatory reward processing. The Integrated Sleep and Reward Model (ISR) proposes reward system dysfunction, specifically, impairments in anticipatory reward processing, as a principal mediator of the relationship between insomnia and the onset and maintenance of depression. This model supports the importance of targeting reward system impairment in the treatment of co-occurring insomnia and depression. In this chapter, we review the literature supporting the reward system as a key mechanism in the relationship between insomnia and depression. In addition, we delineate clinical recommendations for the assessment and treatment of anhedonia and reward responsiveness in patients with depressive and sleep disturbance symptoms.