Sleep is an imperative physiological aspect that plays a vital role in maintaining hormonal and humeral functions of the body and hence a healthy life. Circadian rhythms are daily oscillations in human activities and physiology that prepare human beings to better react to and anticipate challenges in the surrounding environment, which are a consequence of diurnal changes of day and night. The sleep/wake cycle is one of the most prominent manifestations of the circadian rhythm and communicates tightly with the immune system with daily oscillation of immunity. Sleep deprivation is now recognized as a common condition inherent to modern society, and it is detrimental to certain body functions, particularly immune function. The aim of this review is to explore the role of sleep in maintaining a healthy immune system during the COVID-19 pandemic. The review discusses sleep-regulatory substances that are linked to host defense mechanisms such as interleukin-1β, interleukin-6, tumor necrosis factor alpha, and interferon gamma. Cytokine levels also fluctuate with sleep/wake homeostasis and our review explores the relationship between sleep and cytokines and proposed therapeutics. The review will also cover sleep and immune response in children, adolescents, and healthcare workers, and finally it will touch on the effect of obstructive sleep apnea on immune response and the severity of COVID-19.