Women undergoing in vitro fertilization (IVF) are emotionally challenged. Anxiety, depression, and sleep disturbances are common complaints. The impact of these symptoms on IVF outcome is however debated. In this study, we aimed at investigating whether sleep quality and psychological health can affect the chances of success of the procedure. Women undergoing IVF were recruited at the time of oocytes retrieval. Women’s sleep quality and psychological health was assessed using the Pittsburgh Sleep Quality Index (PSQI), the Fertility Problem Inventory (FPI), and the Hospital Anxiety and Depression Scale (HADS). Baseline characteristics and results of the three scales were compared between women who did and did not succeed. Overall, 263 women were included, of whom 81 had a clinical pregnancy (31%). As expected, successful women were younger, and their ovarian reserve was more preserved. FPI and HADS scores did not differ. Conversely, a statistically significant difference emerged for the PSQI score, the median [interquartile range] in pregnant and non-pregnant women being 4 [3–5] and 5 [3–7], respectively (p = 0.004). The crude and adjusted OR of pregnancy in women with a PSQI > 5 (indicating impaired sleep quality) was 0.46 (95% CI 0.25–0.86, p = 0.02) and 0.50 (95% CI: 0.26–0.94, p = 0.03), respectively. In conclusion, low sleep quality is common in women scheduled for IVF and could influence the success of the procedure.