Abstract Objectives To investigate the independent effects of depression and subtypes of anxiety on insomnia, and vice versa, and the independent effect of chronotype on insomnia, depression, and subtypes of anxiety. Methods In all, 318 South Australian high school students from grades 7–11 (age range, 12–18 years; mean, 14.97 ± 1.34) participated in this cross-sectional study. Validated self-report questionnaires were used to assess insomnia, depression, subtypes of anxiety, and chronotype. Results After confounder variables were controlled, insomnia predicted depression and panic disorder (PD), whereas insomnia was predicted by depression and generalized anxiety disorder (GAD). Obsessive–compulsive disorder (OCD), separation anxiety (SAD), and social phobia (SP) were not significantly related to insomnia. Eveningness predicted the models in which depression and PD predicted insomnia and vice versa. Eveningness also predicted the models in which insomnia was predicted by OCD, SAD, and SP. Conclusions Insomnia independently predicts depression and is predicted by depression and GAD, but not by other forms of anxiety. The independent prediction of insomnia on PD is unlikely to be clinically significant. Chronotype independently predicts and hence is a risk factor for insomnia and depression, but not subtypes of anxiety. Theoretical and clinical implications are discussed.