Sleep abnormalities in major depressive disorder (MDD) have been suggested to represent a vulnerability trait, which might predispose the individual to long-term psychiatric morbidity. In this study, we sought to assess whether the presence of sleep symptoms among adolescents with MDD is associated with poorer long-term outcome in young adulthood during naturalistic follow-up. Adolescent outpatients diagnosed with MDD (n = 166; age 13-19 years, 17.5% boys) were followed up during 8 years in naturalistic settings. N = 112 adolescents (16.1% boys) completed the 8-year assessment. Sleep symptoms and psychosocial functioning were assessed with structured clinical interviews, and depressive and anxiety symptoms with questionnaires. The severity of sleep symptoms at baseline was not associated with worse outcome at 8 years in terms of any of the outcome measures tested. In particular, the presence of a disturbed sleep-wake rhythm at baseline was associated with a more favourable outcome at 8 years: less depression and anxiety symptoms and higher level of psychosocial functioning. The presence of sleep symptoms in young adulthood was associated with the presence of current depression and anxiety symptoms and poorer psychosocial functioning. The presence of sleep symptoms at follow-up seems to be state-dependent: they are observed in conjunction with other psychiatric symptoms. Contrary to our hypothesis, our results suggest that sleep complaints among adolescents with MDD do not lead to poorer long-term clinical outcome in young adulthood. The link between sleep-wake rhythm disturbance and better long-term outcome needs to be confirmed and examined in detail in further studies, but here we speculate about possible explanations.