Does insomnia lead to depression more often or does depression lead to insomnia?

Usually the latter: While severe sleep deprivation has been shown to exacerbate mental disorders, it is more common for insomnia to be related to untreated or partially treated anxiety or depression, less commonly bipolar disorder.

Hard to say: Insomnia is actually one of the symptoms that is used to diagnose someone with depression, i.e. One can be classified as depressed if one has insomnia, one other symptom and depressed mood for at least two weeks continuously. So, since insomnia is so integral to how depression is diagnosed, it would be really difficult to make a study of how often insomnia leads to depression and vice versa.