The purpose of this study is to explore the direction of the association between insomnia and anxiety disorders and major depression among a community-based sample of adolescents to better understand their potential etiologic relationships. Data come from a community-based sample of 1014 youth aged 13–16. Structured interviews were conducted to assess DSM-IV diagnoses. Retrospectively reported ages of onset were used in Proportional Hazards models to estimate increased risk of one disorder associated with prior onset of the others. The lifetime associations of DSM-IV insomnia with each anxiety disorder and with depression were moderate (OR=3.2–6.8). Among those with comorbid disorders, anxiety disorders preceded insomnia 73% of the time, while insomnia occurred first in 69% of comorbid insomnia and depression cases. Any prior anxiety disorder was associated with an increased risk of insomnia adjusting for gender, race/ethnicity, and depression prior to insomnia (HR=3.5). However, prior insomnia was not significantly associated with onset of anxiety disorders. Prior depression was not associated with onset of insomnia, but prior insomnia was associated with onset of depression adjusting for gender, race/ethnicity, and any prior anxiety disorder (HR=3.8). These results suggest distinct natural courses of development between DSM-IV insomnia, anxiety, and depression during adolescence. Additionally insomnia may have independent, and potentially etiologically distinct, directional associations with anxiety disorders versus depression.