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This study aims to compare the sleep characteristics (structure and quality) in patients with type-2 diabetes mellitus with and without diabetic neuropathic pain (DNP), and to investigate the relationship of sensory phenotypes, anxiety, and depression with sleep quality in DNP patients. A cross-sectional study was performed in patients with type-2 diabetes mellitus and neuropathy. Patients were classified into two groups—with or without neuropathic pain—according to the “Douleur Neuropathique-4 (DN4)” scale. Sleep characteristics and quality (Medical Outcomes Study—MOS-sleep), pain phenotype (Neuropathic Pain Symptom Inventory—NPSI), mood status (Hospital Anxiety and Depression scale—HADS), pain intensity (Visual Analogue Scale—VAS), and quality of life (SF-12v2) were measured. The sample included 130 patients (65 with DNP). The mean scores in all the dimensions of the MOS-sleep scale were higher (more disturbances) in the DNP patients. Higher scores in anxiety or depression, greater intensity of pain or a higher score in the paroxysmal pain phenotype were associated with lower sleep quality in DNP patients. A shorter duration of the diabetes and lower levels of glycated hemoglobin were also associated with lower sleep quality. The results show the relationship between DNP and sleep quality, and the importance of assessing sensory phenotypes and mental comorbidities in these patients. Taking these factors into consideration, to adopt a multimodal approach is necessary to achieve better clinical results.