Background: We examined the association between depressed mood (DM) and sleep duration in a multi-ethnic population in Amsterdam, and the extent to which DM accounts for both short and long sleep. Methods: Cross-sectional data using 21,072 participants (aged 18–71 years) from the HELIUS study were analyzed. Sleep duration was classified as: short, healthy, and long (<7, 7–8, and ≥9 h/night). A Patient Health Questionnaire (PHQ-9 sum score ≥10) was used to measure DM. The association between DM and sleep duration was assessed using logistic regression. The extent to which DM accounted for short and long sleep was assessed using a population attributable fraction (PAF). Results: DM was significantly associated with short sleep in all ethnic groups after adjustment for other covariates (OR 1.9 (1.5–2.7) in Ghanaians to 2.5 (1.9–32) in the Dutch). DM was not associated with long sleep except in the Dutch (OR 1.9; 1.3–2.8). DM partly accounted for the prevalence of short sleep with PAF ranging from 3.5% in Ghanaians to 15.5% in Turkish. For long sleep, this was 7.1% in the Dutch. Conclusions: DM was associated with short sleep in all ethnic groups, except in Dutch. If confirmed in longitudinal analyses, strategies to reduce depression may reduce the prevalence of short sleep in concerned groups.