There is a high incidence of tobacco use and sleep-related problems among dancers; however, data that explore this interaction in dance students are scarce. The purpose of this study was to analyze nicotine dependence based on the subjective quality of sleep reported by dance students. A total of 116 conservatory students participated in the study. The Pittsburgh Sleep Quality Index (PSQI) and the Fagerström Test for Nicotine Dependence were used to collect data in November 2017. Of the sample, 59.5% reported poor sleep quality (PSQI scores > 5) with no difference according to gender (p = 0.092), while 20.7% said they smoked, again with no gender difference (p = 0.305). In comparison with non-smokers, smokers scored higher on the PSQI (p = 0.001), slept fewer hours (p = 0.05), took longer to fall asleep (p = 0.001), had worse sleep efficiency (p < 0.001), and more diurnal dysfunctions due to sleep deprivation (p = 0.023). In comparison with non-smokers there was a risk [OR = 4.39] of smokers presenting with poor sleep quality. It is concluded that the data support the need to consider tobacco use and sleep problems in conservatory training programs in order to improve the health and performance of dance students.