Sleep issues impair students' health and success. This study constructed a sequential mediating model to examine whether attachment anxiety and mobile social media dependence mediated the relationship between loneliness and sleep disturbance. A total of 487 university freshmen (42.09% females, 57.91% males; mean age = 18.19 years) were enrolled in this study and completed self‐report measures of loneliness, sleep disturbance, attachment anxiety, and mobile social media dependence. (1) There were significant positive correlations between loneliness and sleep disturbance. (2) College students' sleep disturbance was affected by loneliness partly through three different pathways: the mediating effect of attachment anxiety, the mediating effect of mobile social media dependence, and the sequential mediating effect of attachment anxiety and mobile social media dependence. Loneliness could positively predict sleep disturbance and attachment anxiety and mobile social media dependence played important mediating roles in this relationship. These findings contribute to a more comprehensive understanding of the factors for sleep disturbance.