This study aimed to elucidate the risk factors of Sleep Disturbances in Depression (SDD) and to determine improvements related to anti-depressant treatment. One-hundred-and-forty-six patients with depression were included. The Simplified Coping Style Questionnaire (SCSQ) was used to determine patients’ coping styles, while the Hamilton Depression Scale (HAMD) and Hamilton Anxiety Scale (HAMA) were used to assess depression and anxiety. The Pittsburgh Sleep Quality Index Scale (PSQI) was used to assess sleep quality, and the Beck Scale for Suicide Ideation (BSS) and Suicide Attitude Questionnaire (QSA) were used to observe patients’ suicidal tendencies. Except for the SCSQ, all other scales were assessed before and 3 months after anxiolytic therapy, for comparison. Sleep-associated factors were also analysed. In addition to relief from depression and anxiety, the patients’ sleep conditions improved and their suicidal tendency declined after antidepressant treatment. Correlation analysis revealed that the risk factors of sleep disturbances included sex, anxiety and depression status, negative coping style, and suicidal tendency. After antidepressant treatment, some of the abovementioned risk factors were corrected and only anxiety and depression status, coping style, and suicidal tendency remained as risk factors. In conclusion, antidepressant treatment can bring about many benefits to patients with depression.