Menstruation is an inflammatory process that involves changes in women's physiology leading to mental and physical complaints. Sleep is essential for optimal hormonal release, immune response, and wellbeing, becoming an important factor to be evaluated. We compared sleep, inflammatory mediators, fatigue, anxiety and depression symptoms, and quality of life in menstruating and non‐menstruating women. We used the polysomnographic data of 232 women from EPISONO 2007, an epidemiological study from São Paulo city, Brazil. Women were distributed into menstruating ( N = 61) and non‐menstruating groups ( N = 171). We applied questionnaires related to sleep quality, sleepiness, insomnia, fatigue, anxiety and depression symptoms, and quality of life. The serum levels of interleukin 6, tumour necrosis factor‐alpha, and C‐reactive protein were analysed. For statistical analysis the significance level adopted was p < 0.05. Sleep efficiency was statistically lower in menstruating women (81% ± 13) compared with the non‐menstruating group (84.2% ± 13.3, p < 0.023). No statistical differences between the two groups were found in respect to the other parameters analysed. Both groups scored for fatigue symptoms, but no statistical significance was observed between the groups. Our findings indicate that menstruation was associated with lower objective sleep efficiency, suggesting that menstruation may be a physiological factor impairing sleep. Further studies evaluating menstrual variables, and each phase of the menstrual cycle, should be undertaken to detect the main factors associated with sleep complaints, fatigue, and objective parameters of sleep.