Objective: Bidirectional relations between sleep disturbances, depression symptoms, and anxiety symptoms have been frequently observed in empirical studies; however, little is known about the temporal relations between these variables in the context of treatment. Method: The current study examines the temporal relations between sleep parameters, depression symptoms, and anxiety symptoms in a large sample of individuals undergoing intensive cognitive–behavioral partial hospital treatment (N = 1,184). Random-intercept cross-lagged panel models were fit to these data to determine whether (1) sleep parameters uniquely predicted subsequent depression and anxiety symptoms and (2) depression and anxiety symptoms uniquely predicted subsequent sleep parameters. Results: Results revealed relations in both directions: later than usual bedtimes predicted higher than usual anxiety and depression the next day, shorter than usual sleep duration predicted higher than usual depression the next day, shorter than usual nighttime sleep onset latency predicted higher than usual anxiety the next day, and higher than usual anxiety predicted shorter than usual sleep duration on the next night. Conclusions: These finding suggest the potential value of examining sleep behaviors associated with sleep timing and circadian rhythms as important transdiagnostic factors during treatment for anxiety and depression. We discuss the implications for future studies of the relations between sleep and psychopathology symptoms and understanding individuals’ experiences in the context of cognitive–behavioral treatment. (PsycInfo Database Record (c) 2020 APA, all rights reserved)