Objective Sleep problems and depression are common symptoms in dementia with Lewy bodies (DLB), where patients typically experience subjectively poor sleep quality, fatigue and excessive daytime sleepiness. However, whilst sleep disturbances have been linked to depression, this relationship has not received much attention in DLB. The present cross‐sectional study addresses this by examining whether depressive symptoms are specifically associated with subjective sleep quality and daytime sleepiness in DLB, and by examining other contributory factors. Methods DLB patients (n = 32) completed the Pittsburgh Sleep Quality Index (PSQI), Epworth Sleepiness Scale (ESS) and the 15‐item Geriatric Depression Scale (GDS‐15). Motor and cognitive functioning was also assessed. Pearson correlations were used to assess the relationship between GDS‐15, ESS and PSQI scores. Results GDS‐15 scores were positively associated with both ESS (r = 0.51, p < 0.01) and PSQI (r = 0.59, p < 0.001) scores. Conclusions Subjective poor sleep and daytime sleepiness were associated with depressive symptoms in DLB. Given the cross‐sectional nature of the present study, the directionality of this relationship cannot be determined, although this association did not appear to be mediated by sleep quality or daytime sleepiness. Nevertheless, these findings have clinical relevance; daytime sleepiness or poor sleep quality might indicate depression in DLB, and subsequent work should examine whether the treatment of depression can reduce excessive daytime sleepiness and improve sleep quality in DLB patients. Alternatively, more rigorous screening for sleep problems in DLB might assist the treatment of depression. © 2015 The Authors. International Journal of Geriatric Psychiatry published by John Wiley & Sons, Ltd.