Sleep is highly conserved across evolution, suggesting vital biological functions that are yet to be fully understood. Animals and humans experiencing partial sleep restriction usually exhibit detrimental physiological responses, while total and prolonged sleep loss could lead to death. The perturbation of sleep homeostasis is usually accompanied by an increase of the hypothalamic-pituitary-adrenal (HPA) axis, leading to a rise of circulating level of stress hormones (e.g., cortisol in humans, corticosterone in rodents). Such hormones follow a circadian release pattern under undisturbed conditions and participate in the regulation of sleep. The investigation of the consequences of sleep deprivation, from molecular changes to behavioural alterations, has been used to study the fundamental functions of sleep. However, the reciprocal relationship between sleep and the activity of the HPA axis is problematic when investigating sleep using traditional sleep-deprivation protocols that can induce stress per se. This is especially true in studies using rodents in which sleep deprivation is achieved by exogenous, and potentially stressful, sensory-motor stimulations that can undoubtedly confuse their conclusions. While more research is needed to explore the mechanisms underlying sleep loss and health, avoiding stress as a confounding factor in sleep-deprivation studies is therefore crucial. This review examines the evidence of the intricate links between sleep and stress in the context of experimental sleep deprivation, and proposes a more sophisticated research framework for sleep-deprivation procedures that could benefit from recent progress in biotechnological tools for precise neuromodulation, such as chemogenetics and optogenetics, as well as improved automated real-time sleep scoring algorithms.