Previous research shows that sleep quality may interact with some other predictors of depression, such that poor sleep could strengthen the association between these factors and depression. We aimed to determine the presence of statistical interactions between sleep quality and loneliness, risky alcohol use, perfectionistic concerns and/or physical inactivity in relation to depressive symptoms. We found that sleep quality was associated with depressive symptoms in all final models. Sleep quality showed a linear interaction with perfectionistic concerns in relation to depressive symptoms, such that perfectionistic concerns were more strongly associated with depressive symptoms when sleep quality was poor. We concluded that only perfectionistic concerns interacted with sleep quality in relation to depressive symptoms.