Can nightmares lead to depression the next day?

Yes: Nightmares may cause distress which may cause/aggravate anxiety, depression, ptsd, sleep-deprivation, medical conditions and poor general health, all of which can contribute to having nightmares. Late night snacks, medications, & poor sleep hygiene may contribute to nightmares. Identifying and relieving causes will help to reduce nightmares. Seek professional help if they cause impairment.