Objective To explore the chain mediating effect of anxiety and sleep disorders in adolescents with depressive disorder between depressive symptoms and cognitive deficits. Methods From January to October 2023， 141 adolescents with depressive disorder were recruited from Beijing Huilongguan Hospital as research subjects using the Mini International Neuropsychiatric Interview for Children and Adolescents （MINI-KID）. The Patient Health Questionnaire-9 items （PHQ-9）， Perceived Deficits Questionnaire for Depression （PDQ-D）， Generalized Anxiety Disorder-7 （GAD-7）， and Pittsburgh Sleep Quality Index （PSQI） were used to investigate the depression， cognition， anxiety， and sleep of adolescents with depressive disorder. Pearson correlation was used to analyze the correlation between depressive symptoms， cognitive deficits， anxiety， and sleep disorders in adolescents with depressive disorder. Model 6 of the SPSS PROCESS macro program was used for mediating effect analysis. Results Among adolescents with depressive disorder， the PHQ-9， GAD-7， PSQI， and PDQ-D scores were （20.61±4.99）， （17.06±4.95）， （11.27±3.66）， and （67.32±14.77）. There were positive correlations between cognitive deficits and depressive symptoms， anxiety， and sleep disorders， and the differences were statistically significant （r=0.525 to 0.625， all P ＜ 0.001）. Anxiety and sleep disorders played a chain mediating effect in the relationship between depressive symptoms and cognitive deficits， with a mediating effect value of 0.109， accounting for 19.68% of the total effect. Conclusions Depressive symptoms in adolescents with depressive disorder can directly lead to cognitive deficits， and can also be mediated through the chain mediation of anxiety and sleep disorders.