Depressive symptoms, poor sleep quality, and systemic markers of inflammation (e.g., interleukin (IL)-6) are frequently associated. Interferon-alpha (IFN-alpha) therapy results in Major Depressive Disorder (MDD) in some people, offering the possibility to elucidate the relationship of MDD to sleep and inflammation during treatment. In particular, delineating the temporal relations among these factors could help inform their causal relationships. To this end, a cohort of 95 non-depressed hepatitis C patients was followed prospectively for four consecutive months during IFN-alpha therapy. We found that higher pre-treatment levels of circulating IL-6 predicted incidence of MDD (X(2)(1)=7.7; p<0.05). Time-lagged mixed-effect analyses supported uni-directional associations in which IL-6 predicted next month's PSQI scores (F(47,11.6)=78.4; p<0.0005), and PSQI scores predicted next month's depressive Beck Depression Inventory-II (BDI) scores (F(16,22.6)=3.4; p<0.005). In addition, on any given month of treatment, IL-6 levels predicted BDI symptoms the following month (F(16,97.5)=7.3; p<0.0005), and conversely BDI predicted next month's IL-6 (F(14,7.4)=5.2; p<0.05) - providing evidence for a positive feedback relationship between depressive symptoms and systemic inflammation. These data provide further evidence that high levels of inflammation and poor sleep quality may be risk factors for IFN-alpha induced depression. Furthermore, these findings highlight the complex temporal relationships that exist among sleep, depression, and inflammation, and support the need for further prospective investigations to elucidate the dynamics that underlie depression during IFN-alpha treatment.