Background Cognitive-behavioral therapy can effectively treat insomnia (CBT-I). Randomized controlled trials have shown efficacy of self-help CBT-I, but unclear is whether excluding depressive patients boosted treatment effects. Method We administered unsupported self-help CBT-I to insomnia patients with low and high depression levels. Based on the validated Centre of Epidemiological Studies-Depression (CES-D) scale, the internet-recruited sample (N = 479) was divided into three groups: low depression scores (n = 198), mild depression scores (n = 182), and high depression scores (n = 99). Follow-ups were 4 and 18 weeks after completion of the treatment. Results At 4-week follow-up, all groups had a similar amelioration on the primary sleep measures (d = 0.1-0.7; P < 0.05) and the secondary insomnia ratings (d = 1.2; P < 0.001). The only difference was that the high/mild depression groups had a steeper reduction in depression (d = 1.0-1.1; P < 0.001) and anxiety scores (d = 0.7-0.8; P < 0.001) than the low depression group (depression and anxiety: d = 0.3; P < 0.01), possibly due to floor effects in the latter group. The observed effects were sustained at the 18-week follow-up. Conclusions This study showed that CBT-I is effective regardless of baseline depression levels. Treating the combination of insomnia and depression is an extra challenge since it is associated with increased sleep problems. These data may help us understand the relationship between insomnia and depression and indicate that self-help CBT-I may be a promising addition to regular depression treatment. © 2012 Wiley Periodicals, Inc.