Patients with rheumatoid arthritis (RA) often experience depression and poor sleep. Depression and poor sleep may, in turn, worsen RA disease activity. This cross-sectional study aimed to investigate the relationship between RA disease activity as measured using the Disease Activity Score-28 (DAS28-ESR), depression measured using the Beck's Depression Inventory-II (BDI-II), and sleep quality measured using the Pittsburgh Sleep Quality Index (PSQI). Anxiety was measured using the Hospital Anxiety and Depression Scale-Anxiety subscale (HADS-A). A total of 164 consecutive patients with RA were recruited from the Rheumatology Specialist Clinic of a regional hospital in Hong Kong. They were asked to complete questionnaires that included demographic information, the Health Assessment Questionnaire (HAQ), BDI-II, HADS-A, and PSQI. The DAS28-ESR was assessed by the attending rheumatologists. Clinical information was retrieved from the electronic medical records. The mean DAS28-ESR score was 3.35 ± 1.24 (SD). The mean BDI-II was 10.97 ± 9.15 (SD). The mean HADS-A score was 5.57 ± 3.77 (SD). The mean PSQI score was 7.55 ± 4.16 (SD). The BDI-II score was statistically correlated with the DAS28-ESR and PSQI scores. Multiple regression analysis revealed that the association of BDI-II with DAS28-ESR and PSQI was confounded by the HAQ. The association of DAS28-ESR with BDI-II but not with PSQI is in accordance with the results of previous studies. The association between the HAQ and BDI-II has also been demonstrated in previous studies. Clinicians should be aware of mood and sleep problems in patients with RA and adopt a multidisciplinary approach to their management. Future studies should provide information on causality in a more representative sample of patients with RA.