Depression, anxiety, and insomnia are all conditions that share a complex bidirectional relationship. Sleep effort is a construct with cognitive and behavioral components that perpetuates insomnia. Although many studies have examined the associations between these three variables, no studies have yet examined sleep effort as a mediating variable between anxiety and depression and vice versa. Online versions of the Hospital Anxiety and Depression Scale and the Glasgow Sleep Effort Scale were administered to a sample of 1927 higher education students aged 18–40 years (75.9% women and 76% from 18 to 23 years old). As part of the survey, participants also completed a sociodemographic questionnaire. Mediation analysis indicated that sleep effort mediates the relationship between depression and anxiety, when the former was the predictor and the latter was the criterion. Moreover, sleep effort also mediated the relationship between anxiety and depression when the former was the predictor and the latter was the criterion, albeit in a lesser extent. Sleep effort appears to play a bidirectional mediational role between depression and anxiety, being a potential target for intervention.