The coronavirus disease 2019 (COVID-19) pandemic has negatively impacted psychological health for many. This study aimed to investigate if distress tolerance, an individual’s perceived or actual ‘capacity to withstand negative psychological states’, helps to explain the relationship between sleep and mental health problems during the COVID-19 pandemic. College students (N = 187) completed questionnaires using an online survey platform between 6 April 2020, and 6 June 2020, during the COVID-19 pandemic. Hierarchical multiple regression analyses were used to examine the indirect effect of distress tolerance on the relationship between sleep quality and mental health. Distress tolerance partially accounted for the relationship between sleep quality and perceived stress but did not help to explain the association between sleep quality and depression or anxiety. Two components of distress tolerance, absorption and appraisal, helped to explain the relationship between sleep quality and all mental health outcomes. These findings help explain how distress tolerance relates to mental health when sleep is negatively impacted. Prospective designs replicating these findings are needed and future research may inform how psychological interventions could target distress tolerance in the context of poor sleep, especially during major stressors.