Major depressive disorder (MDD) is associated with inflammation and a high level of comorbidities. Atypical depression (AD) is a MDD subtype based on DSM criteria, that could have specific underlying biological mechanisms. AD is associated with elevated cardiovascular (CVD) comorbidities, higher risk of suicide attempts, hypersomnia, and anxiety disorder. In this study, we aim to investigate if AD and polysomnographic parameters could be associated with low-grade inflammation (LGI). LGI is defined by a range from 3 to 10 mg/L of C-reactive protein levels. We carried out a retrospective cohort study in which 765 individuals with MDD were split into two groups: with and without LGI. Our results exhibit differences between the groups for the polysomnographic parameters, with the LGI group showing parameters already associated with inflammation such as reduced rapid eye movement sleep and elevated hypoxemia markers (identified as CVD risk factor). We found that AD is associated with LGI (OR 1.48; p = 0.047) after adjustment. Likewise, we found an LGI prevalence in AD higher (34.8%) than in MDD without atypical features (26.8%). Overall, these results confirm the low-grade inflammation feature of AD and highlight polysomnographic parameters associated with LGI that could also act as risk factors in this context.