This study aims to determine whether changes in sleep quantity and quality in childhood are associated with incidence of depressive symptoms. We used the three waves of the Korean Children & Youth Panel Survey (2011–2013). Statistical analysis using a generalized estimating equation model was performed. The 2,605 subjects analyzed included 1,453 students in 2012 and 1,152 students in 2013 without depressive symptoms in the prior year. We found that deteriorated or consistently poor sleep quality were important risk factors for depressive symptoms in children. We suggest that early detection and intervention of poor sleep quality in elementary school is required to reduce early onset depressive symptoms.