Anxiety and depression are among the most common mental disorders and are strongly associated with reduced quality of life (QOL). In this cross-sectional study, we examined the associations of anxiety and depression with four QOL domains, namely, physical, psychological, social, and environmental, among Mongolian adults, and tested whether sleep quality mediates these relationships. Although previous Mongolian studies have examined anxiety, depression, and sleep, none of them have tested sleep quality as a mediator of their effect on QOL. A total of 534 adults completed the Hospital Anxiety and Depression Scale (HADS), the World Health Organization Quality of Life–BREF self-report measure (WHOQOL-BREF), and the Pittsburgh Sleep Quality Index (PSQI), each previously translated and validated for the Mongolian population. Associations were assessed using Pearson correlations and multiple regressions, and indirect effects were estimated through mediation analysis. Higher anxiety and depression scores were significantly associated with lower QOL across all domains (p < .001). Poor sleep quality, reported by 43% of participants, was associated with higher anxiety and depression and lower QOL. Mediation analyses showed that sleep quality partially mediated the associations between anxiety/depression and QOL, most strongly in the physical and environmental domains. These findings indicate that sleep quality is a modifiable factor that may be targeted to reduce the impact of psychological distress on well-being. Culturally adapted interventions addressing both mental health and sleep may yield meaningful public health benefits in Mongolia.