We aimed to identify the sleep electroencephalography (EEG) spectral power correlates of the subjective-objective discrepancy (SOD) of sleep onset latency (SOL) in major depressive disorder (MDD), primary insomnia (PI), and normal sleeping control (NSC) groups. We examined relative power values in standard frequency bands of the EEG spectra during the first Non-Rapid Eye Movement (NREM) sleep period as correlates of SOD of SOL between sleep diary and polysomnography in MDD (n = 36), PI (n = 19), and NSC (n = 23) groups. We also compared the relative spectral power of sleep EEG among MDD (n = 40), PI (n = 19), and NSC (n = 23) groups. SOD of SOL in MDD patients was positively correlated with relative sigma (r = 0.622, p corrected < 0.001), beta power (r = 0.559, p corrected = 0.002), and alpha power (r = 0.469, p corrected = 0.024) in the first NREM sleep period. There was no significant difference of sleep EEG power spectra among the three groups. SOD was positively correlated with high frequency EEG in MDD. High frequency EEG power is thought to be associated with hyperarousal and memory consolidation, and future larger-scale studies may further elucidate the neurophysiological mechanisms underlying SOD of sleep onset duration.