Disturbed sleep is the most common effect of shift work. A large corpus of research indicates an association between sleep disturbance and depressive symptom in shift workers. In this study, we proposed the mediating role of grey matter (GM) structure in the relationship between sleep disturbance and depressive symptom. We collected structural MRI (sMRI) data as well as assessing the level of sleep disturbance and depressive symptom with the Pittsburgh Sleep disturbance Index and Zung Self-Rating Depression Scale, respectively, in 20 shift-working nurses and 19 day-working nurses. The shift-working nurses reported greater severity of sleep disturbance and depressive symptom, and furthermore, they exhibited reduced GM volume in the left postcentral gyrus (PostCG), right PostCG, right paracentral lobule, and left superior temporal gyrus (STG), compared to the day-working nurses. For each of the four brain regions, we formulated a mediation hypothesis by developing a mediation model that represents a causal chain between GM volume, sleep disturbance, and depressive symptom. Tests of the hypothesis on the mediation of GM volume revealed that inter-individual variations in left PostCG volume and left STG volume accounted for the influence of sleep disturbance on depressive symptom. These results suggest that structural alterations in PostCG and STG play an intervening role in the development of depressive symptom following sleep disturbance. We propose the need of considering neuroanatomical abnormalities in explaining and understanding symptomatic changes induced by sleep disturbance.