Many occupational settings require individuals to make important decisions immediately after awakening. Although a plethora of psychological research has separately examined both sleep and anchoring effects on decision-making, little is known about their interaction. In the present study, we seek to shed light on the link between sleep inertia, the performance impairment immediately after awakening, and individuals' susceptibility to the anchoring bias. We proposed that sleep inertia would moderate participants' adjustment from anchors because sleep inertia leads to less cognitive effort invested, resulting in a stronger anchoring effect. One hundred four subjects were randomly assigned to an experimental group that answered anchoring tasks immediately after being awakened at nighttime or a control group that answered anchoring tasks at daytime. Our findings replicated the well-established anchoring effect in that higher anchors led participants to higher estimates than lower anchors. We did not find significant effects of sleep inertia. While the sleep inertia group reported greater sleepiness and having invested less cognitive effort compared to the control group, no systematic anchoring differences emerged, and cognitive effort did not qualify as a mediator of the anchoring effect. Bayesian analyses provide empirical evidence for these null findings. Implications for the anchoring literature and future research are discussed.