Participants will be randomly assigned to receive weekly sessions of either CBT or clinician monitoring for 8 weeks. Participants in both groups will meet with a therapist at selected visits, but only CBT participants will receive actual therapy. All participants will have 13 study visits; four will be overnight visits in a sleep lab. On Visit 1, participants will complete questionnaires about their sleep quality and symptoms of depression. Participants will also undergo a physical exam and will begin a daily sleep diary. Visits 2, 3, 12, and 13 will be overnight visits in the sleep lab. During these visits, participants will have electrodes placed on their bodies and a polysomnograph will be used to monitor their sleep. Participants will meet with their therapist on Visits 4 to 11. Participants' sleep diaries, depression scales, and sleep scales will be used for assessment. After the intervention part of the study is complete, participants will have monthly follow-up visits for up to 2 years. During the follow-up visits, participants will complete questionnaires about their sleep quality and symptoms of depression.