Previous longitudinal studies have demonstrated that poor sleep may precede depression and anxiety. The current study examined the association between self-reported sleeping difficulties and new onset depression and anxiety in young women. A nationally representative sample of 9,683 young women from the Australian Longitudinal Study of Women's Health was analyzed. Women were surveyed in 2000 (aged 22 to 25 years), 2003, 2006, and 2009. Generalized estimating equations were used to examine the association between sleeping difficulties in 2000 and new-onset depression (excluding postnatal depression) and anxiety at each subsequent survey. Significant increased risk of new onset depression (odds ratio (OR)=2.6 in 2003; OR=4.4 in 2006; OR=4.4 in 2009) and anxiety (OR=2.4 in 2006; OR=2.9 in 2009) was found at each follow-up survey in women who reported sleeping difficulties "often" in 2000. Further research is needed to uncover the mechanisms underlying the link between sleep problems and mental health.