Sleep disturbances are common in individuals at ultra high-risk (UHR) of psychosis and have proven to play a causal role in the occurrence of psychotic symptoms in healthy individuals. Only a few studies have systematically investigated sleep disturbances in UHR individuals. The help-seeking UHR individuals were 18–40 years old, and we included 72 UHR individuals according to the Comprehensive Assessment of At-Risk Mental State criteria (CAARMS) and 36 healthy controls. Sleep was measured with a modified version of the Karolinska Sleep Questionnaire and actigraphy for one night, and melatonin was measured at awakening and bedtime. We compared subjective rated sleep and actigraphy between healthy and UHR individuals (t-test and chi-square test) and examined the association between a CAARMS-composite score (linear regression). UHR individuals subjectively experienced poor sleep, categorised as disturbed sleep- and awakening index compared with healthy controls. We found no differences in actigraphy variables or morning/evening melatonin between UHR and healthy controls (t-test and chi-square). A high CAARMS-composite score was associated with high morning melatonin (B = 0.15, CI 0.02 to 0.27, p = 0.024) and high awakening index (B = 1.86, CI 0.58 to 3.14, p = 0.004) in UHR individuals. The results suggest that UHR individuals with high CAARMS scores have a delayed sleep phase; they have difficulties waking up and feel exhausted at awakening. It might be necessary to evaluate how UHR individuals sleep, and it would be of great interest to follow these patients over time according to the development of psychosis.