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We hypothesized that a negative, stable, and global attributional style would mediate the relationship between sleep continuity and depression. Twenty-three currently depressed and 31 never-depressed participants completed the Attributional Styles Questionnaire and wore an actigraph during the course of 1 week. Linear and logistic regression techniques were used to calculate path coefficients to test the mediating relationship. Results indicated that a global attributional style mediated the relationship between poor sleep continuity (frequency of awakenings), delayed morning waketime, increased total time spent in bed, and depression. Reverse mediation analyses indicated that these relationships may be bidirectional. No effects were found for stable or internal attributions. These results suggest that global attributions may, in part, mediate the relationship between sleep disturbances and depression. They also provide data consistent with the hypothesis that disrupted sleep is associated with learned helplessness. Prospective studies are necessary to test the directionality of these relationships.