ObjectivesTo investigate the association between changes in lifestyle risk factors and changes is sleep difficulties.DesignLongitudinal repeated measures cohort study.SettingUniversity and national institute of occupational health.ParticipantsParticipants of the Finnish Public Sector study with information on sleep and lifestyle-related risk factors collected in five repeat surveys with 4‐year intervals from 2000 to 2017. The participants were those, who had responded at least twice and had a change in sleep difficulties (having sleep difficulties vs not) (142 969 observations from 38 400 respondents (mean age 45.5 (SD 9.2) years, 83% women).Primary and secondary outcome measuresChanges in sleep quality over time. Longitudinal fixed effects analysis, a method that accounts for time-invariant confounders by design, was used.ResultsAt first available response, sleep difficulties were experienced by 13 998 (36%) of the respondents. Respectively, the mean age was 44.3 (10.0) years, 7526 (20%) were obese, 13 487 (35%) reported low physical activity, 3338 (9%) extensively drinking and 6547 (17%) were smoking. Except for smoking, the changes in the studied modifiable risks were associated with changes in sleep difficulties. The ORs for having sleep difficulties were 1.41 (95% CI 1.35 to 1.48) for obesity, 1.10 (95% CI 1.06 to 1.13) for low physical activity and 1.43 (95% CI 1.35 to 1.51) for heavy drinking. For smoking, the association was negative with OR 0.81 (95% CI 0.76 to 0.86). Including all four modifiable risks into model changed the estimates only little.ConclusionsThe results of this longitudinal study suggest that changes in sleep quality are interconnected with changes in lifestyle.