Sleep inertia is the transitional state from sleep to wake. Research on sleep inertia is important in depression because many people with depression report having difficulty getting out of bed, which contributes to impairment and can impede the implementation of interventions. The first aim was to develop and validate the first self-report measure of sleep inertia, the Sleep Inertia Questionnaire (SIQ). The second aim was to compare reports of sleep inertia across three groups: (1) No-to-Mild-Depression, (2) Analogue-Depression, and (3) Syndromal-Depression. The SIQ demonstrates strong psychometric properties; it has good to excellent internal consistency, strong construct validity, and SIQ severity is associated with less prior sleep duration. Sleep inertia is more severe in the Analogue-Depression and Syndromal-Depression Groups compared to the No-to-Mild-Depression Group. In conclusion, the SIQ is a reliable measure of sleep inertia and has potential for improving the assessment of sleep inertia in clinical and research settings.