A growing body of research has demonstrated links between sleep problems and symptoms of depression and anxiety in community and clinical samples of adolescents and young adults. Scant longitudinal research, however, has examined reciprocal associations over socio-contextual shifts such as the transition to college. Using multiple methods of assessment (e.g., actigraphy, subjective report), the current study assessed whether sleep quantity, quality or variability changed over the transition to college and investigated the potential cross-lagged relationships between adolescents’ sleep and symptoms of anxiety and depression. The participants (N = 82; 24 % male) were studied at three time points over approximately 1 year: spring of their senior year of high school (T1), fall of their first year of college (T2), and spring of their first year of college (T3). Sleep minutes, sleep efficiency, wake time variability and anxiety increased over the transition to college. Subjective reports of sleep problems decreased. Cross-lagged panel models indicated significant relationships between subjective sleep quality and anxiety symptoms over time where subjective sleep problems at T1 were associated with anxiety at T2, and anxiety at T2 was associated with subjective sleep problems at T3. In contrast, greater depressive symptoms at T1 preceded increases in subjective sleep problems, sleep latency and sleep start time variability at T2. Importantly, there were concurrent associations between symptoms of anxiety or depression at T2 and sleep efficiency, sleep start time variability, and subjective sleep problems. These findings suggest that, overall, sleep quantity and quality improved over the transition to college, although the overall amounts of sleep were still below developmental recommendations. However, for some youth, the first semester of college may be a sensitive period for both sleep problems and symptoms of anxiety. In contrast, depressive symptoms were stable across time but were associated with worsening sleep problems in the first semester of college. Implications for future prevention and intervention programs should include strategies to help youth cope effectively with adjustment like increased sleep variability and symptoms of anxiety associated with the transition to college.