Closed-loop auditory stimulation (CLAS) has emerged as a non-invasive tool to modulate sleep over the past few years. Selective suppression of slow wave sleep (SWS) has been proposed to produce fast-acting antidepressant effects in individuals with major depressive disorder (MDD), and to be a less demanding and more sustainable alternative to therapeutic sleep deprivation for MDD. However, the mechanisms underlying these effects remain poorly understood. The present work investigated the efficacy of SWS modulation using CLAS in MDD population and explored potential baseline predictors of response. Fourteen patients diagnosed with MDD participated in a repeated-measures protocol comprising four sleep laboratory nights: adaptation, baseline, and two counterbalanced experimental nights (SWS suppression and sham). The effect of auditory closed-loop SWS suppression on sleep was evaluated using high-density electroencephalography (EEG), and depressive symptoms were assessed before and after each night using Montgomery-Åsberg Depression Rating Scale (MADRS). SWS suppression was achieved using a closed-loop auditory stimulation automatically delivering pink noises upon SWS detection. We were able to observe a trend towards reduced N3 percentage during the stimulation night in the intention-to-treat sample, while remaining sleep parameters were stable across the sham and stimulation nights. No clear baseline predictors of response were identified, although a higher medication load appeared to be associated with a smaller N3 percentage reduction following stimulation. Taken together, these findings suggest that selective SWS suppression via CLAS is feasible and can be achieved without any major disruption to overall sleep quality, with promising therapeutic implications for individuals with MDD.