A large number of asthmatic patients, particularly females, present inadequate disease control. Depressive symptoms are reportedly common in asthma and have been related to poor disease control, but the mechanism of this association is still unclear. Poor quality sleep, frequently observed in asthmatics, is also a manifestation of depression and has been related to uncontrolled asthma. This study aimed to investigate the relationship between depressive symptoms, sleep quality, and asthma control. This was a cross-sectional study of 123 women with previous diagnosis of asthma from a reference center in Fortaleza, Brazil. Depressive symptoms were assessed by the Beck Depression Inventory (BDI); quality of sleep was evaluated by the Pittsburgh Sleep Quality Index (PSQI), daytime sleepiness by the Epworth Sleepiness Scale (ESS), and asthma control by the Asthma Control Test (ACT). Inadequate asthma control (ACT5) in 99 (80.49 %), and excessive daytime sleepiness (ESS >= 10) in 34 (27.64 %). Depressive symptoms were associated with both poor quality sleep (R = 0.326) and inadequate asthma control (R = -0.299). Regression analysis showed that depressive symptoms and sleep quality were independent predictors of the level of asthma control. Asthma control in women is independently associated with depressive symptoms and quality of sleep, suggesting that these patients might benefit from simple measures to promote healthy sleep behavior and sleep hygiene and also that routine screening for depression can be relevant, particularly, in poorly controlled cases.