Sensory processing sensitivity (SPS) is a trait characterized by heightened responsiveness to external and internal stimuli. Past research suggests individuals high in SPS may exhibit depressive symptoms, possibly due to their highly sensitive nervous system. While the link between SPS and sleep quality remains unexplored, studies have established a strong association between depression and sleep. This study aimed to compare sensitivity groups concerning sleep quality and depression and to evaluate depression’s moderating effects on the SPS–sleep quality relationship. An online survey was administered to 1,122 Spanish participants (female 75.8%, n = 850), with a mean age of 24.5 (standard deviation [SD] = 11.2). Analyses of covariance (ANCOVAs) indicated that the high-sensitivity group experienced more sleep disturbances and severe symptoms of depression, considering gender, age, and monthly incomes as sociodemographic variables. Depression was found to significantly moderate the SPS–sleep quality relationship (F(2, 1116) = 5.717, p = .003), exacerbating the impact of SPS on sleep disturbances. The study findings suggest that highly sensitive people appear to indicate more severe depressive symptoms, as well as sleep quality disturbances, with the influence of gender, age, and monthly income. Also, depression seems to moderate the relationship between SPS and sleep quality, leading to greater sleep disturbances among highly sensitive individuals with severe depressive symptoms.