I used to feel that exact way quite often when I had depression. What do you tend to do when you're staying up? I always went online till early morning and that made me more depressed than if I read during the night or got things done like tidying up a bit, because I felt like at least I was getting something done.
Do you know why you get depressed that you're not staying up late if you go to bed early? For me it was that I felt terrible doing nothing while waiting to get to sleep, and it took me a long time to get to sleep because of bad sleep habits. If you improved your sleep habits you would get to sleep more quickly and that would be less of a problem (if that is a problem for you). You could try doing things like making sure you're not hungry before bed, trying to wake up before noon, not sleeping throughout the day, not using a laptop in bed, and not watching tv or using the internet in the hour before you go to bed.
I'm not sure about this, but it might be a good idea to make sure you eat healthily throughout the night too, since if you wake up at 3pm you might not be getting enough meals throughout the day and that would be contributing to your depression, and lack of energy if you have that too.