For poor sleep quality (SQ) as well as major depressive disorder (MDD) and burnout, a dysregulation of the hypothalamic-pituitary-adrenal (HPA) axis has been identified. Although poor SQ is often reported as an early symptom of MDD or burnout, it is not clear whether HPA axis-related hormones can influence the association between SQ and MDD or burnout. This manuscript addresses this question by examining HPA axis-related hormones as potential moderators influencing the association between SQ and MDD or burnout. In the fourth annual examination wave of the Dresden Burnout Study, we measured general SQ (including sleep duration and efficiency), depressive and burnout symptoms, and obtained hair samples for quantification of long-term integrated steroid concentrations (cortisol [hC], cortisone [hCn], dehydroepiandrosterone [hDHEA]) from 462 participants (67% female). Data on SQ, depressive and burnout symptoms were available from 342 participants from the preceding examination wave (average time span between examinations 13.2 months). Cross-sectional analyses showed that the negative association between sleep duration and depressive symptoms was buffered by higher levels of hC, and hCn, whereas the negative association between sleep duration and burnout symptoms was buffered by higher levels of hDHEA. The negative association between sleep efficiency and burnout symptoms was intensified by higher levels of hC and hC/hCn ratio and the negative association between general SQ and burnout symptoms was intensified by higher levels of hC/hCn ratio. With regard to longitudinal data, a significant interaction effect between sleep duration and hC/hCn ratio could be detected for burnout symptoms. Our results suggest opposed moderation effects of hair glucocorticoids on the association between SQ and depressive or burnout symptoms. This points toward opposed glucocorticoid receptor functioning in depression and burnout. To fully elucidate the negative consequences of poor SQ on MDD and burnout, the complex underlying mechanisms of action including HPA axis-related hormones need to be investigated in MDD and burnout separately.