Abstract Insomnia poses a high risk for depression. Brain mechanisms of sleep and mood improvement following cognitive behavioural therapy for insomnia remain elusive. This longitudinal study evaluated whether (i) individual differences in baseline brain white matter microstructure predict improvements and (ii) intervention affects brain white matter microstructure. People meeting the Diagnostic and Statistical Manual of Mental Disorders-5 criteria for Insomnia Disorder (n = 117) participated in a randomized controlled trial comparing 6 weeks of no treatment with therapist-guided digital cognitive behavioural therapy for insomnia, circadian rhythm support or their combination (cognitive behavioural therapy for insomnia + circadian rhythm support). Insomnia Severity Index and Inventory of Depressive Symptomatology-Self Report were assessed at baseline and followed up at Weeks 7, 26, 39 and 52. Diffusion-weighted magnetic resonance images were acquired at baseline and Week 7. Skeletonized white matter tracts, fractional anisotropy and mean diffusivity were quantified both tract-wise and voxel-wise using tract-based spatial statistics. Analyses used linear and mixed effect models while correcting for multiple testing using false discovery rate and Bonferroni for correlated endpoint measures. Our results show the following: (i) tract-wise lower fractional anisotropy in the left retrolenticular part of the internal capsule at baseline predicted both worse progression of depressive symptoms in untreated participants and more improvement in treated participants (fractional anisotropy × any intervention, PFDR = 0.053, Pcorr = 0.045). (ii) Only the cognitive behavioural therapy for insomnia + circadian rhythm support intervention induced a trend-level mean diffusivity decrease in the right superior corona radiata (PFDR = 0.128, Pcorr = 0.108), and individuals with a stronger mean diffusivity decrease showed a stronger alleviation of insomnia (R = 0.20, P = 0.035). In summary, individual differences in risk and treatment-supported resilience of depression involve white matter microstructure. Future studies could target the role of the left retrolenticular part of the internal capsule and right superior corona radiata and the brain areas they connect.