It can be a part of depression, but then again it may not... varies between people I guess.
My sleep has always been bad and the more depressed I am the worse my sleep gets. I'm lucky to get 3 hours a night at the moment... and that's in between HORREDOUS disturbing nightmares and waking up, tossing and turning. I've been asked to take meds to help me sleep.
Why not try and do something relaxing before bed, try and get your mind to rest a bit. Spray some relaxing mists in your bedroom and on your pillow... natural things, see if anything helps. But, if your sleep still bothers you I think you ought to talk to your doctor about it, like Pegasus said... sleep is really important in helping you feel better and cope better with your depression.

Good luck and take care,
Molly
__________________
Makes me that much stronger
Makes me work a little bit harder
Makes me that much wiser
So thanks for making me a fighter