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I'm wondering if the sidebar has to be present when the pdf document is originally created in order for it to open with the sidebar shown. That said, if I'm creating a pdf through the print dialog, I'm not sure how to "turn on" the sidebar first. But, I've never tried to look for that.
 
Sounds like a preference is stuck. You could try opening Preview, going to the preferences and checking Open Sidebar Only for TOC, and then closing Preview. Then, open Preview, going to the preferences and un-checking Open Sidebar Only for TOC, and then closing Preview.
 
Thanks for your replies. As DewGuy suggested, I tried the Preferences check on and off, however that didn't do it. I'm thinking that it may have something to do with how the PDF is created as Gregg intimated. After investigating further, I notice some files do open with the sidebar and others don't, however can't find a pattern.

I don't know if this has anything to do with the behavior, however, Photoshop PDF's never automatically open with the sidebar. Sometimes I use Photoshop to create or modify PDF's and then use Preview to merge those separate pages in the Sidebar into a single document.
 
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