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This research evaluated the relationship between pain and sleep problems, and the role of pain and sleep problems in depression, in a sample of 242 patients who had been diagnosed with definite or classical rheumatoid arthritis (RA). Patients completed the Pain scale of the Arthritis Impact Measurement Scales, the Center for Epidemiological Studies Depression Scale, and self-reports of sleep disturbance at two data waves over a 2-year interval. Cross-sectional multiple regression analysis revealed that the sleep problems variable was independently associated with depression at Time 1. Longitudinal multiple regression analyses demonstrated that prior pain predicted subsequent adverse changes in sleep problems, whereas sleep problems did not affect pain over time, and prior pain and the interaction of high pain and high sleep problems were independently associated with depression from Time 1 to Time 2. These data suggest that pain may exacerbate sleeping difficulty in RA patients, and that both factors may contribute to depression over time.