Sleep problems are considered a core symptom of depression. However, there is little information about the comorbidity of sleep problems and depression in low- and middle-income countries (LMICs), and whether sleep problems with depression confer additional risk for decrements in health compared to sleep problems alone. This study thus examined the association between sleep problems and depression and whether sleep problems with depression are associated with an increased risk for poorer health in 46 LMICs. Cross-sectional, community-based data from 237 023 adults aged ≥18 years from the World Health Survey (WHS) 2002-2004 were analyzed. Information on sleep problems (severe/extreme) and International Classification of Diseases 10th Revision depression/depression subtypes was collected. Multivariable logistic (binary and multinomial) and linear regression analyses were performed. Sleep problems were associated with subsyndromal depression (odds ratio [OR]: 2.23, 95% confidence interval [CI]: 1.84-2.70), brief depressive episode (OR = 2.48, 95% CI = 2.09-2.95) and depressive episode (OR = 3.61, 95% CI = 3.24-4.03). Sleep problems with depression (vs. sleep problems alone) conferred additional risk for anxiety, perceived stress and decrements in health in the domains of mobility, self-care, pain, cognition, and interpersonal activities. Clinicians should be aware that the co-occurrence of sleep problems and depression is associated with a variety of adverse health outcomes in LMICs. Detecting this co-occurrence may be important for treatment planning.