The Liangshan Yi Autonomous Prefecture is home to the largest population of Yi ethnic minority within mainland China. Due to the high HIV/AIDS epidemic, many Yi children become AIDS orphans who lost one or both parents to AIDS-related causes. This study explored the prevalence and correlates of AIDS orphans' depressive symptom, sleep disorders and their comorbidity. A cross-sectional survey was conducted to collect pertinent information from 467 AIDS orphans and 856 non-orphans of Yi ethnic minority. Depressive symptoms were screened by a two-item Patient Health Questionnaire (PHQ-2). The symptoms of insomnia were assessed by the Insomnia Severity Index (ISI), which was complemented by one item from the Pittsburgh Quality Sleep Index (PSQI) to measure the frequency of nightmare. The prevalence of depression (26.8% vs. 20.4%, P = 0.009) and comorbidity of depression, insomnia and nightmare (7.5% vs. 4.3%, P = 0.046) was significantly higher for AIDS orphans than for non-orphans. Risk factors such as ostracization and self-reported poor physical health had stronger effects on depressive symptoms and sleep disorders for AIDS orphans than for non-orphans. On the other hand, peer support, as an important protective factor, was significantly and negatively associated with depressive symptoms and sleep disorders for AIDS orphans. AIDS orphans of Yi ethnic minority reported higher levels of depressive symptoms and comorbidity of depression and sleep disorders than their non-orphan counterparts. These symptoms were exacerbated by ostracization and self-rated poor physical health but lowered by peer support.