Disrupted melatonin secretion is regarded as a link between circadian rhythm and major depression, but results have been contradictory. We hypothesize that this might be due to averaging across individuals and too short measurements periods. In this study, pair-matched depressed and non-depressed individuals sampled their saliva three times a day, 30 days, in their natural environment. The depressed group showed significantly more variance and higher melatonin levels (p < 0.05). Substantial interindividual heterogeneity and day-to-day variability was found. The individual time-series approach allowed us to reveal this variability. Important information remains unnoticed when analyzing melatonin only at the group level.