With the rapid growth of Chinese economic, the widening income gap and its detrimental effects on adolescents’ development has received substantial attention. A large body research has documented the negative association between low family income and adolescent adjustment. The present study aimed to examine the relationship between low family income and adolescents’ sleep quality. Sleep is especially important during adolescent. There is considerable evidence suggesting that sleep is a powerful predictor of adolescents’ mental, physical, and psychological consequences. However, the adolescents from low income family are at increased risk of low sleep quality, insufficient sleep, and low sleep efficiency. To our knowledge, most research has focused the negative association between low family income and adolescents’ sleep quality, however little is known about the mediating mechanisms (i.e., how does low family income relate to adolescents’ sleep?) underlying this relation. Determining the roles of mediators in the relationship between low family income and adolescents’ sleep would be important to provide guidance for interventions to improving sleep quality. Thus, the purposes of the present study were to examine the relationship between family income and adolescents’ sleep quality as well as the chain mediating effect of perceived discrimination and self-esteem in the relationship between family income and adolescents’ sleep quality. A sample of 1053 adolescents (mean age = 14.95 years, SD = 1.66) in Guangdong Province was recruited to participate in this study. Participants anonymously completed the questionnaire of family income, perceived discrimination, Self-Esteem Scale (SES), and Pittsburgh Sleep Quality Index (PSQI). We first calculated descriptive statistics for our variables of interest, followed by bivariate associations among these variables in SPSS 21.0 software, and follow-up structural equation modeling (SEM) was conducted using Mplus 7.0. The total PSQI score of 8 was used as cutoff and the prevalence of poor sleep was 15.60%. The correlations among family income, perceived discrimination, self-esteem, and sleep quality were all significant. In addition, structural equation modeling showed that perceived discrimination and self-esteem played the chain mediating effect in the relationship between family income and sleep quality. In conclusion, family income not only has a direct effect on adolescents’ sleep quality but also influences sleep quality by the chain mediating effect of perceived discrimination and self-esteem. These findings contribute to understanding mechanisms underlying the relationship between low family income and adolescents’ sleep quality and have important implications for interventions aimed at improving adolescents’ sleep quality.