Background: Evidence on the burden of depression, internet addiction and poor sleep quality in undergraduate students from Nepal is virtually non-existent. While the interaction between sleep quality, internet addiction and depressive symptoms is frequently assessed in studies, it is not well explored if sleep quality or internet addiction statistically mediates the association between the other two variables. Methods: We enrolled 984 students from 27 undergraduate campuses of Chitwan and Kathmandu, Nepal. We assessed sleep quality, internet addiction and depressive symptoms in these students using Pittsburgh Sleep Quality Index, Young's Internet Addiction Test and Patient Health Questionnaire-9 respectively. We included responses from 937 students in the data analysis after removing questionnaires with five percent or more fields missing. Via bootstrap approach, we assessed the mediating role of internet addiction in the association between sleep quality and depressive symptoms, and that of sleep quality in the association between internet addiction and depressive symptoms. Results: Overall, 35.4%, 35.4% and 21.2% of students scored above validated cutoff scores for poor sleep quality, internet addiction and depression respectively. Poorer sleep quality was associated with having lower age, not being alcohol user, being a Hindu, being sexually active and having failed in previous year's board examination. Higher internet addiction was associated with having lower age, being sexually inactive and having failed in previous year's board examination. Depressive symptoms were higher for students having higher age, being sexually inactive, having failed in previous year's board examination and lower years of study. Internet addiction statistically mediated 16.5% of the indirect effect of sleep quality on depressive symptoms. Sleep quality, on the other hand, statistically mediated 30.9% of the indirect effect of internet addiction on depressive symptoms. Conclusions: In the current study, a great proportion of students met criteria for poor sleep quality, internet addiction and depression. Internet addiction and sleep quality both mediated a significant proportion of the indirect effect on depressive symptoms. However, the cross-sectional nature of this study limits causal interpretation of the findings. Future longitudinal study, where the measurement of internet addiction or sleep quality precedes that of depressive symptoms, are necessary to build upon our understanding of the development of depressive symptoms in students.