People were trained to associate two images, linked to smells, with fear.
During sleep they were exposed to one of those smells - and when they woke they were less frightened of the image linked to that smell.
A UK expert praised the Nature Neuroscience study and said it could help treat phobias and perhaps even post-traumatic stress disorders.
People with phobias are already commonly treated with "gradual exposure" therapy while they are awake, where they are exposed to the thing they are frightened of in incremental degrees.
This study suggests that the theory could be extended to therapy while they are in slow-wave, or deep, sleep.
This is the deepest period of sleep, where memories, particularly those linked to emotions, are thought to be processed.
The researchers showed 15 healthy people pictures of two different faces.
At the same time they were given a mild electric shock. They were also exposed to a specific smell, such as lemon, mint, new trainers, clove or wood.
They were then taken into a sleep lab. While they were in slow-wave sleep they were exposed to a smell linked to one of the faces they had been shown.
Later, when they were awake, they were shown both faces - without the scents or shocks.
They showed less fear when shown the face linked to the scent they had smelt while asleep than when shown the other face.
Their response was measured through the amount of sweat on the skin and fMRI (functional magnetic resonance imaging) brain scans.
These showed changes in the areas linked to memory, such as the hippocampus, and in patterns of brain activity in regions associated with emotion, such as the amygdala.
People were in slow-wave sleep for between five and 40 minutes, and the effect was strongest for those who slept for longest.
'Just one day'
Dr Katherina Hauner, of the Northwestern University Feinberg School of Medicine, Chicago, who led the study, said: "It's a novel finding. We showed a small but significant decrease in fear.
"If it can be extended to pre-existing fear, the bigger picture is that, perhaps, the treatment of phobias can be enhanced during sleep."
She said phobias would be the most obvious area to pursue, as cues tended to be relatively simple, compared with the more complex post-traumatic stress disorder (PTSD).
And she said much more research was needed to fully understand the effects this therapy could have.
"This was just one day. We really need to see if it can last weeks, months or years."
'Triggers include smells'
Jennifer Wild, consultant clinical psychologist at the King's College London Institute of Psychiatry, said: "The sleep study is excellent and has implications for treating phobias and stress disorders, such as post-traumatic stress, where there are a whole range of cues.
"Many people who have survived traumatic events, such as fires or road traffic accidents, have a physiological fear response to triggers of their memories.
"Triggers often include smells, such as smoke, petrol, antiseptic smells and alcohol. Infusing these smells during periods of slow-wave sleep could help to extinguish the fear response."
Dr Wild added that the theory could perhaps be extended by exposing people to subtle sounds linked to phobias or traumatic memories during their sleep.