Context Quality of life (QoL) and depression are important patient-reported outcomes in cancer care. However, the relative importance of depression severity in predicting QoL remains unclear because of few methodologically sound studies. Objectives To examine whether depression contributes to impairment of QoL irrespective of prognostic factors and symptom burden. Methods A total of 563 patients were included from the European Palliative Care Research Collaborative���Computerized Symptom Assessment Study, an international, multi-center, cross-sectional study. The relative importance of prognostic factors (systemic inflammation [modified Glasgow Prognostic Score���mGPS]), co-morbidities and physical performance (Karnofsky Performance Status), symptom burden (loss of appetite, breathlessness, nausea [Edmonton Symptom Assessment Scale], and pain [Brief Pain Inventory]), and depression severity (Patient Health Questionnaire 9) in predicting Global Health/QoL (European Organization for Research and Treatment of Cancer Core Quality of Life Questionnaire [EORTC-QLQ-C30]) were assessed using hierarchical multiple regression models. Results Fifty-five percent were women, median age was 64 years, 87% had metastatic disease, median Karnofsky Performance Status was 70, and mean global QoL was 50.5 (SD = 23.3). Worse QoL was associated with increased systemic inflammation (mGPS = 1 �� = ���0.12, P = 0.003; mGPS = 2 �� = ���0.09, P = 0.023), lower physical performance (�� = 0.17, P < 0.001), reduced appetite (�� = ���0.15, P < 0.001), breathlessness (�� = ���0.11, P = 0.004), pain (�� = ���0.14, P = 0.002), and higher depression severity (�� = ���0.27, P < 0.001). The full model accounted for 29% of the observed variance in QoL scores. The strongest predictor was depression severity, accounting for 5.8% of the variance. Conclusion Depression severity was the strongest single predictor of poorer QoL in this sample of patients with advanced cancer, after accounting for a wide range of clinically relevant variables. Future studies should investigate the contribution of psychosocial variables on QoL. Our findings emphasize the importance of managing depression to achieve the best possible QoL for these patients.