Background: The outbreak of COVID-19 has seriously threatened the health of people around the world. To prevent the spread of the epidemic, Chinese universities have implemented closed management of campuses. The implementation of restrictive measures has gradually caused changes in the quality of sleep and the psychological state of college students. In addition, college students are faced with the dual pressure of employment and study, and the psychological pressure is huge. Therefore, it is necessary to investigate sleep and depressive symptoms among college students. Methods: Using the method of stratified cluster sampling, 6695 college students were selected from three universities in Jiangxi, Anhui, and Xinjiang provinces from April to May 2022. The Chinese version of the Pittsburgh sleep quality index (PSQI) and the self-rating depression scale (SDS) were used for the survey. Hierarchical logistic regression analysis was used to analyze the relationship between the PSQI and the SDS. Results: Overall, during the outbreak of COVID-19, 69.0% of males and 73.5% of females had poor sleep quality among Chinese college students and the detection rate of depressive symptoms was 43.6% for males and 47.8% for females, respectively. Taking students with good sleep quality as references, after controlling for covariates, hierarchical logistic regression shows that Chinese college students with poor sleep quality have a higher OR value (OR = 12.0, 95%CI: 10.2~14.1, p < 0.001), especially in males (OR = 43.8, 95%CI:30.2~63.6, p < 0.001). For both males and females, the OR value of college students with the following characteristics was higher: rural college students (males, OR = 50.32, 95%CI: 32.50–77.93; females, OR = 8.03, 95%CI: 6.45–9.99), overweight college students (males, OR = 62.17, 95%CI: 19.47–198.53; females, OR = 16.67, 95%CI: 6.48–42.88), and college students drinking sugar-sweetened beverages (males, OR = 59.00, 95%CI: 36.96–94.18; females, OR = 8.16, 95%CI: 6.63–10.05) (p < 0.001). Conclusions: Poor sleep quality is associated with depressive symptoms among Chinese college students, especially college males. Our research suggests that it is necessary to consider the improvement of sleep quality and depressive symptoms among college students during the COVID-19 epidemic.