To investigate the relationship between worry tendency and sleep quality and the mediating effect of state–trait anxiety, 1072 adolescents and young adults from Jiangxi and Fujian Provinces in China were administered questionnaires pertaining to worry tendency, sleep quality, and state–trait anxiety. The results showed significant grade differences for worry tendency, sleep quality, and state–trait anxiety. Worry tendency was negatively associated with sleep quality, which was mediated by state anxiety and trait anxiety. There is a need for interventions that aim to reduce the level of worry tendency to ensure good sleep quality and the progression from worry tendency to anxiety and to poor sleep quality.