The present study explored (a) the unidirectional and bidirectional links between maternal depression symptoms and infant sleep problems and (b) the moderating role of the infant’s sex on these unidirectional and bidirectional links. Mothers (N = 312) completed measures of depression symptoms at the third pregnancy trimester, and measures of depression symptoms and infant sleep problems at 2 weeks, and at 3 and 6 months postpartum. The findings revealed: (a) a main unidirectional link between maternal depression symptoms during the third trimester and infant sleep problems, particularly on infant unsettled sleep and daytime sleepiness at 3 and 6 months; (b) bidirectional links between maternal postpartum depression symptoms and infant unsettled sleep at 2 weeks, 3 and 6 months of life; and (c) the reported links between maternal depression symptoms and infant sleep problems occur specifically in boys and their mothers. Maternal prenatal depression symptoms are linked to infant sleep problems and infant sleep problems are linked to maternal postnatal depression symptoms. Boys are more susceptible to the effects of maternal prenatal and postnatal depression symptoms, and mothers of boys are more susceptible to the effects of boys’ sleep problems.