Background/Objectives: Sleep disturbances are common among children with fetal alcohol spectrum disorders (FASD) and are often accompanied by emotional and behavioral challenges. This study aimed to evaluate the relationship between sleep problems, anxiety, and depressive symptoms in children with FASD. Methods: The study included 90 children aged 7 to 16 years diagnosed with FASD, who were primarily in foster or adoptive care. Participants completed validated psychometric tools, including the Children’s Sleep Habits Questionnaire (CSHQ), State Trait Anxiety Inventory for Children (STAIC) and Children’s Depression Inventory 2 (CDI 2). Results: Sleep disturbances were significant, with 71.1% of participants scoring above the clinical threshold in CSHQ. State anxiety, measured by STAIC C-1, was positively correlated with specific sleep difficulties, such as bedtime resistance (r = 0.30, p = 0.008) and sleep anxiety (r = 0.31, p = 0.005). However, no correlation was found between trait anxiety (STAIC C-2) and sleep problems. Parent-reported depressive symptoms, measured using CDI 2:P, were strongly associated with general sleep disturbances (r = 0.27, p < 0.011), parasomnias (r = 0.33, p = 0.002) and daytime sleepiness (r = 0.34, p < 0.001). Conclusions: These findings suggest that sleep disturbances in children with FASD are closely related to state anxiety and depressive symptoms. The results emphasize the need for targeted interventions addressing sleep and emotional health in this population. Further research is needed to examine these relationships and their implications for clinical practice.