Poor sleep quality or short and long sleep duration are associated with many negative health outcomes, such as diabetes, hypertension, and fatigue, which may directly or indirectly correlate with poor mental health. Although, the association between sleep duration and quality, and depressive symptoms has been examined, the results of these studies were inconsistent and evidence specifically on older women is lacking. Therefore, we designed a cross-sectional study to evaluate the association between sleep duration and quality, and depressive symptoms in a relatively large sample of older Chinese women. The data were collected from 1,429 older women aged ≥60 years during bone-health examinations in Shanghai. Information on sleep duration and quality were assessed using a self-reported questionnaire. Depressive symptoms were assessed using the Zung self-rating depression scale (SDS), and depressive symptoms were considered present for SDS scores ≥ 45. Logistic regression models were used to analyze the association between sleep and depressive symptoms. After adjusting for all potential confounding factors, a J-shaped association was found between sleep duration and depressive symptoms. When a sleep duration of 6–8 hours was set as a reference, the odds ratios and 95% confidential intervals of short and long sleep duration were 1.31 (0.99, 1.73) and 2.10 (1.40, 3.16), respectively. Moreover, sleep quality was inversely associated with the prevalence of depressive symptoms (p for trend = 0.040). When the SDS cut-off score defining depressive symptoms was changed to 40 and 50, these associations were somewhat weakened, but the trend did not change. This study replicated and extended prior research findings that sleep duration and quality may influence mental health in older women.