Lack of sleep has been associated with more frequent episodes of depression, anxiety, worsening ADHD, and higher rates of suicide.
Additional sleep issues might arise for people who are suffering from anxiety and depression. For instance, someone depressed might sleep excessively, whereas someone anxious might have problems falling asleep or waking up frequently at night.
This 2009 study suggests that keeping a consistent sleep schedule helps you get more hours of sleep per night and improves the quality of your sleep.
You can obviously see then how a sleep schedule might help your sleep hygiene and mental health.