Hard to say
is actually one of the symptoms that is used to diagnose someone with depression
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.
Answer assisted by Emily Lu, Medical Student