Poor sleep in pregnancy is related to adverse neonatal health. Elevated maternal cortisol has been proposed as a pathway, yet the association in pregnancy is not well understood. The goals of the current study were to examine associations between (a) sleep and cortisol, (b) sleep, cortisol, and neonatal outcomes, and (c) variables that could explain these associations. Two hundred pregnant women completed the Pittsburgh Sleep Quality Index (PSQI; Buysse, Reynolds, Monk, Berman, & Kupfer, 1989) and provided diurnal salivary cortisol samples at two times over pregnancy. Poor sleep quality was associated with greater evening cortisol concentrations at 36 weeks' gestation. This association was mediated by anxiety symptoms. Higher evening cortisol at 36 weeks' gestation was associated with shorter gestation.