Given the close relationship between sleep-wake disturbances and depression, an in-depth investigation of such a relationship is imperative. The present study aims at elucidating the relationship between various sleep-wake disturbances and depression in older adults and at examining the influence of co-occurring anxiety on such associations. A community-based survey using the cohort from the Yilan Study in Taiwan was conducted from August 2013 to November 2016. Adults aged 65 and older were randomly selected to participate in the study. The Hospital Depression and Anxiety Scale was used to measure clinical depressive and anxiety symptoms. Insomnia and daytime sleepiness were defined through the Athens Insomnia Scale and the Epworth Sleepiness Scale, respectively. Furthermore, the use of hypnotics, subjective sleep duration and sleep-wake scheduling were evaluated. Their relationship with depression was examined through logistic regression analyses. There were 2620 participants surveyed and 247 (9.4%) had depression. Before controlling for anxiety, insomnia (OR: 1.78, 95% CI: 1.23-2.55), daytime sleepiness (OR: 1.79, 95% CI: 1.27-2.53), and long sleepers (OR: 1.77, 95% CI: 1.24-2.53) have a higher likelihood for depression in the multivariable regression analysis. However, when including anxiety into the multivariable regression model, only those with daytime sleepiness and long sleepers had an elevated risk for depression. Therefore, the association between insomnia and depression turned to be statistically non-significant. In older adults, various sleep-wake disturbances differ in their relationship with depression. In addition, daytime sleepiness and long sleep duration were mostly characteristic of depression when co-occurring anxiety was considered.