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The rapid expansion of digital technologies has significantly transformed the daily lives of adolescents, yet Internet-related problems have also raised various psychological and academic concerns, particularly among adolescents with depressive disorders. This study examined the association between excessive Internet use and learning burnout in this population, with sleep quality and anxiety included as chain mediators. This study adopted a cross-sectional design and included 330 adolescents with depressive disorders (102 males and 228 females). Data were collected through online self-administered questionnaires, including the Internet Addiction Test (IAT), the Adolescent Learning Burnout Scale, the Pittsburgh Sleep Quality Index (PSQI), and the Self-Rating Anxiety Scale (SAS). Data analyses were conducted using SPSS 26.0 to examine the hypothesized relationships among the variables. The results indicated that sleep quality and anxiety exert a significant chain mediating association in the relationship between excessive Internet use and learning burnout. Specifically, excessive Internet use was indirectly associated with learning burnout indirectly through decreased sleep quality and elevated anxiety. This study found that sleep quality and anxiety both partially mediated the association between excessive Internet use and learning burnout among adolescents with depressive disorders. Sleep quality and anxiety served as a chain mediating mechanism linking excessive Internet use to learning burnout. These findings highlight the importance of improving sleep management, reducing anxiety levels, and promoting healthy Internet use in interventions aimed at adolescents with depressive disorders.