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There is uncertainty regarding the prevalence of psychiatric illnesses in patients with celiac disease (CD) and people who avoid gluten (PWAG) without a diagnosis of CD.We obtained data from 22 274 participants from the 2009–2014 National Health and Nutrition Examination Survey to compare the prevalence of depression, insomnia, quality-of-life variables, and psychotropic medication use in CD participants and PWAGs to controls. We used multivariable logistic regression to assess for independent associations between CD/PWAG status and the outcomes of these variables.Depression was present in 8.2% of controls compared with 3.9% of participants with CD (P=0.18) and 2.9% of PWAGs (P=0.002). After adjustment for age, sex, race, income, and access to healthcare, PWAGs maintained lower odds of depression compared with controls (odds ratio=0.25; 95% confidence interval: 0.12–0.51; P=0.0001). The prevalence estimates of sleep difficulty among controls (27.3%) compared to participants with CD or PWAGs were 37.7% (P=0.15) and 34.1% (P=0.11). Those with diagnosed CD had increased odds of sleep difficulty (odds ratio=2.41; 95% confidence interval 1.04–5.60), but this was no longer significant after multivariable adjustment (P=0.17).Among a nationally representative US sample, participants with CD overall showed no increased odds of depression or sleep difficulty. PWAGs showed lower odds of depression compared with controls. Future research should investigate the relationship between a diagnosis of CD and the development of psychiatric conditions.