Individuals with an evening chronotype are at increased risk of experiencing emotional problems, including depressive symptoms. However, the mechanisms underlying these associations remain unclear. The present study aimed to determine whether poor sleep quality, substance use and cognitive emotion regulation difficulties - which have been implicated in the etiology of depression - mediate the relationship between chronotype and depressive symptoms in a student sample, which was assessed cross-sectionally and after 1 year. A total of 742 Dutch students (75% women, mean age 21.4 ± 2.9 years) completed the Quick Inventory of Depressive Symptomatology, the Morningness-Eveningness Questionnaire, the Pittsburgh Sleep Quality Index, a questionnaire assessing alcohol, caffeine, tobacco and cannabis use, the Cognitive Emotion Regulation Questionnaire and the Behavioral Inhibition/Activation Scale. A subsample (n = 115) was assessed 1 year later with the same questionnaires. Cross-sectional analyses showed that evening chronotype was associated with more depressive symptoms, adjusted for age and gender (β = -0.082, p = 0.028). The relationship between eveningness and depressive symptoms was mediated by sleep quality, alcohol consumption and the cognitive emotion regulation strategies of self-blame and positive reappraisal. In longitudinal analyses, eveningness at baseline predicted more depressive symptoms at follow-up, adjusted for age and gender (β = -0.29, p = 0.002); after additional adjustment for baseline depressive symptoms, chronotype remained a significant predictor of depressive symptoms at T2 (β = -0.16, t = -2.01, p = 0.047). Only poor sleep quality at follow-up was a significant mediator of this relationship. Even though the effect is small in terms of explained variance, eveningness is related to depressive symptoms and this relationship is mediated by poor sleep quality, also in a prospective design. Self-blame and reduced positive reappraisal are correlated with eveningness. Further research is needed to assess the efficacy of chronotherapeutic interventions for the prevention of depression, in addition to sleep education and cognitive approaches.