Depressive mood is often preceded by sleep problems, suggesting that they increase the risk of depression. Sleep problems can also reflect prodromal symptom of depression, thus temporal precedence alone is insufficient to confirm causality. The authors applied recently introduced statistical causal-discovery algorithms that can estimate causality from cross-sectional samples in order to infer the direction of causality between the two sets of symptoms from a novel perspective. Two common-population samples were used; one from the Young Finns study (690 men and 997 women, average age 37.7 years, range 30-45), and another from the Wisconsin Longitudinal study (3101 men and 3539 women, average age 53.1 years, range 52-55). These included three depression questionnaires (two in Young Finns data) and two sleep problem questionnaires. Three different causality estimates were constructed for each data set, tested in a benchmark data with a (practically) known causality, and tested for assumption violations using simulated data. Causality algorithms performed well in the benchmark data and simulations, and a prediction was drawn for future empirical studies to confirm: for minor depression/dysphoria, sleep problems cause significantly more dysphoria than dysphoria causes sleep problems. The situation may change as depression becomes more severe, or more severe levels of symptoms are evaluated; also, artefacts due to severe depression being less well presented in the population data than minor depression may intervene the estimation for depression scales that emphasize severe symptoms. The findings are consistent with other emerging epidemiological and biological evidence.