There are positive correlations between stress, anxiety, depression and poor sleep quality. Recent studies have shown that Facebook users can experience stress, anxiety, depression, and poor sleep quality. However, there are very few studies investigating the moderated mediation model of the association between stress and depression symptoms among Facebook users. Using data collected on a sample of 354 Facebook users with the average age of 25.13 years old in Vietnam, our study examines a moderated mediation model to account for the progression from stress symptoms to depression symptoms among Facebook users. The DASS 21 and Pittsburgh Sleep Quality Index were used to measure indicators of stress, anxiety, depression, and sleep quality. After controlling gender and age of Facebook users, the results indicated that Facebook users who experienced stress symptoms tended to be depressed; furthermore, this association was mediated by Facebook users' anxiety symptoms, while the path between Facebook users' anxiety symptoms and depressive symptoms was moderated by poor sleep quality. Findings of this study have revealed that interventions and services that help prevent the development of stress and anxiety symptoms, and improve sleep quality are potentially important to decrease depressive symptoms among Facebook users.