Symptoms of depression and anxiety usually co-occur and are inextricably linked to sleep disturbance. However, little is known about the symptom-to-symptom relationships among these three mental disorders. Hence, to improve our understanding of concurrent depression, anxiety, and sleep disturbance, we used the network analysis approach to construct an interplay relationship among the above three mental disorders and identify which specific symptoms bridge these aggregations. We collected data from a large sample (N = 6710, male = 3074, female = 3636; mean age = 19.28) at a university. We estimated the symptom network structure of depression, anxiety, and sleep disturbance as assessed by the Patient Health Questionnaire-9, Generalized Anxiety Disorder-7, and Youth Self-Rating Insomnia Scale during the COVID-19 lockdown. We further investigated four goals: first, identifying the individual core symptoms in the network by the index of "expected influence"; second, determining the bridge symptoms that play roles in linking different mental disorders by the index of bridge expected influence (1-step); third, examining the robustness of all results; and fourth, providing an overall structure that may or may not differ by sex. The network structure was stable, accurate, and predictable. Items referring to sleep dissatisfaction, poor sleep quality, and uncontrollable worry were potentially core symptoms in the interplay among depression, anxiety, and sleep disturbance. Sleep, guilt, restlessness, irritability, and feeling afraid can function as bridges among depression, anxiety, and sleep disturbance, which is clinically relevant and theoretically important. The results suggested that the network structures significantly differed between the female and male networks. Robustness tests also revealed that the results were reliable.