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Objective: This study examines the effect of sleep quality on depression among upper-grade elementary school students and verifies the moderating effects of physical activity and breakfast consumption on this relationship. Methods: Data from the third-year survey of the Korean Children and Youth Panel Survey (KCYPS) were used, and the research subjects were 2,411 sixth-grade elementary school students. For data analysis, frequency analysis, descriptive statistics, correlation analysis, and multiple regression analysis were performed. Results: The findings of the study are as follows. First, higher sleep quality among upper-grade elementary school students was associated with decreased levels of depression. Second, physical activity had a moderating effect on the relationship between sleep quality and depression. Third, breakfast consumption had a moderating effect on the relationship between sleep quality and depression. Conclusions: The study suggests practical implications for enhancing physical activity and breakfast consumption among upper-grade elementary school students.