When you say 'relationship,' are you referring to correlation or something like it? Correlation measures the strength of a relationship between two continuous variables, and both are considered responses. ANOVA assumes that sleep is the dependent variable and depression is the independent variable. Is that they way you see it? If it is, instead, the other way around, the logistic regression, as recommended by @dale_lehman, is the most direct way to quantify and test the relationship. The Chi square statistic is used to evaluate the significance of the relationship, not the strength. The odds ratio indicates the strength for you.