During adolescence, students not only obtain less sleep and sleep of poorer quality but also experience increases in negative affect, decreases in positive affect, and increases in depressive symptoms. Given that sleep and affect may both influence one another, a disruption of either one of the two may trigger a downward spiral where poor sleep and affective dysfunctioning continue to negatively influence each other. As a result, the present study aims to examine the bidirectional daily associations between adolescents’ nighttime sleep (sleep quality and disturbance) and daytime affect as well as the moderational effects of participants’ gender and depressive symptoms. To this end, we conducted hierarchical linear regression modelling in a sample of 286 13–16 year-old non-disordered adolescents (59 % female) who completed 9 randomly sampled assessments per day as well as a standard morning and evening assessment for a period of 6 days. Results indicate that sleep disturbance was not associated with positive and negative affect, whereas sleep quality was. Poorer sleep quality predicted more negative and less positive affect the next day, and also was predicted by higher levels of negative and lower levels of positive affect the day before. Girls and participants higher in depressive symptoms seemed to experience stronger adverse effects of poor sleep quality on their negative affect than boys and participants low in depressive symptoms. Additionally, the positive association between positive affect and next day’s positive affect was weaker for those who scored higher on depressive symptoms. These findings suggest that improving sleep quality and improving daily affect are both useful strategies to create upward spirals of adolescent well-being that might be needed particularly for girls and adolescents with elevated symptoms of depression.