Background Anxiety and depression are commonly comorbid with each other, with anxiety often temporally preceding the development of depression. Although increasingly research has begun to investigate the role of sleep problems in depression, no study has examined insomnia as a mediator in the longitudinal relationship between anxiety and subsequent depression. Methods The current study utilizes data from Waves I, II, and IV of the National Longitudinal Study of Adolescent to Adult Health, a nationally representative prospective study conducted over a 14‐year period (n = 20,745, 50.5% female, M age at Wave I = 16.20). Participants completed portions of the Center for Epidemiologic Studies Depression Scale at Waves I and IV to assess depressive symptoms, a six‐item anxiety measure at Wave I, and three items assessing insomnia, sleep quality, and sleep duration at Wave II. Results Structural equation modeling indicated that insomnia and unrestful sleep significantly mediated the relationship between anxiety and subsequent depression. The relationship between anxiety and depression was not significantly mediated by sleep duration. Conclusions Findings suggest that anxiety may increase risk for the development of later depression through insomnia.