OBJECTIVE: The aim of this study was to investigate the impact of anxiety disorders and migraine on sleep quality and to find the independent factors that predict sleep quality among patients with major depressive disorder (MDD). METHOD: Psychiatric outpatients diagnosed with MDD were enrolled in the study. Major depressive disorder and 7 anxiety disorders were diagnosed using the Structured Clinical Interview for Diagnostic and Statistical Manual of Mental Disorders, Fourth Edition, Text Revision. Migraine was diagnosed based on the International Classification of Headache Disorders, Second Edition. Headache intensity and frequency were reported by the subjects. The Pittsburgh Sleep Quality Index and Hamilton Depression Rating Scale were used to evaluate quality of sleep and depression severity, respectively. Multiple linear regressions were used to identify independent factors related to sleep quality. RESULTS: One hundred thirty-five subjects (34 men and 101 women) with MDD were enrolled in the study. Subjects with panic disorder and agoraphobia were found to have poorer Pittsburgh Sleep Quality Index scores. Subjects with panic disorder, agoraphobia, and migraine had higher scores for items relating to sleep quality in the Hamilton Depression Rating Scale. Headache intensity and frequency correlated with sleep disturbance. Panic disorder was independently predictive of poor sleep quality. Both migraine and panic disorder independently predicted a greater severity of depression. CONCLUSION: Our study demonstrates the negative impact of panic disorder and migraine on MDD and some of the interrelations between depression, anxiety, and sleep quality. Future studies should further explore these interactions and consider possible therapeutic interventions.