Women with severe premenstrual syndrome report sleep-related complaints in the late-luteal phase, but few studies have characterized sleep disturbances prospectively. This study evaluated sleep quality subjectively and objectively using polysomnographic and quantitative electroencephalographic measures in women with severe premenstrual syndrome. Eighteen women with severe premenstrual syndrome (30.5 ± 7.6 years) and 18 women with minimal symptoms (controls, 29.2 ± 7.3 years) had polysomnographic recordings on one night in each of the follicular and late-luteal phases of the menstrual cycle. Women with premenstrual syndrome reported poorer subjective sleep quality when symptomatic in the late-luteal phase compared with the follicular phase ( P < 0.05). However, there were no corresponding changes in objective sleep quality. Women with premenstrual syndrome had more slow-wave sleep and slow-wave activity than controls at both menstrual phases ( P < 0.05). They also had higher trait-anxiety, depression, fatigue and perceived stress levels than controls at both phases ( P < 0.05) and mood worsened in the late-luteal phase. Both groups showed similar menstrual-phase effects on sleep, with increased spindle frequency activity and shorter rapid eye movement sleep episodes in the late-luteal phase. In women with premenstrual syndrome, a poorer subjective sleep quality correlated with higher anxiety ( r = −0.64, P = 0.005) and more perceived nighttime awakenings ( r = −0.50, P = 0.03). Our findings show that women with premenstrual syndrome perceive their sleep quality to be poorer in the absence of polysomnographically defined poor sleep. Anxiety has a strong impact on sleep quality ratings, suggesting that better control of mood symptoms in women with severe premenstrual syndrome may lead to better subjective sleep quality.