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Background and Objectives: Social anxiety disorder (SAD) and major depressive disorder (MDD) are among the disorders characterized by a high rate of comorbidity and the transdiagnostic symptoms of which include sleep problems and self-efficacy. The present study aimed to compare sleep problems and self-efficacy in individuals with symptoms of SAD and MDD and normal individuals. Materials and Methods: The present study was descriptive. The statistical population included all patients, 18 to 60 years old, in the health centers of Borujerd and Tehran in 2022 who were diagnosed with SAD and MDD by psychiatrists and psychologists. Among the participants, 159 were selected via purposive sampling method and completed the study questionnaires. The measurement tools included Structured Clinical Interview for DSM-5 (SCID-5), Social Phobia Inventory by Connor, Beck's Depression Inventory, Pittsburgh Sleep Quality Index (PSQI), and Self-Efficacy Scale by Sherer and Adams. Data analysis was performed using multivariate analysis of variance (MANOVA). Results: The results showed that there is a significant difference between normal individuals and those with SAD and MDD in terms of sleep problems and self-efficacy (p<0.001). Also, there is a significant difference between individuals with SAD and MDD in terms of self-efficacy (p<0.001). Conclusion: Considering the present study, it can be stated that sleep problems are common in social anxiety and major depressive disorders, which leads to their emergence and persistence. These results can have important clinical consequences and aid in the simultaneous treatment of these two disorders with regards to transdiagnostic protocols. [ABSTRACT FROM AUTHOR]