Background: While the exact mechanisms are not fully understood, there are significant links between sleep quality, anxiety, depressive symptoms, and cognitive emotion regulation. This research examines how sleep quality affects anxiety and depressive symptoms, as well as the potential of cognitive emotion regulation strategies (CERS) to moderate the impact of sleep quality on these symptoms. Methods: The Chinese version of the Pittsburgh Sleep Quality Index (CPSQI), the Cognitive Emotion Regulation Questionnaire (CERQ), the Patient Health Questionnaire-9 (PHQ-9), and the Generalized Anxiety Disorder Scale-7 (GAD-7) were all completed online by students from two colleges in China’s Xizang region. Results: The study included 4325 subjects. The prevalence of poor sleep quality, anxiety symptoms, and depression symptoms was 45.69%, 36.81%, and 51.86%, respectively. We observed significant direct effects on poor sleep and severity of anxiety/depression: c’1 = 0.586 (0. 544–0.628), and c’2 = 0.728 (0.683–0.773). Adaptive CERS only had a mediating effect on the relationship between sleep quality and depression symptoms, with a1b3 = −0.005 (−0.011–−0.001). The link between poor sleep quality and the intensity of anxiety and depression was significantly affected by the indirect effects of maladaptive CERS: effect a2b2 = 0.126 (0.106–0.147), and effect a2b4 = 0.145 (0.123–0.167). Conclusions: Individuals who experience poor sleep quality are more likely to have increased levels of anxiety and depression. However, enhancing sleep quality led to a decrease in anxiety and depression levels. Adaptive CERS did not predict anxiety, but they did predict depression. Multiple maladaptive CERS could increase levels of anxiety and depression. To prevent mental stress, it is crucial to examine sleep problems among college students, understand their cognitive strategies, promote the adoption of adaptive CERS, and reduce the reliance on maladaptive CERS.