Background Major depression can negatively affect different domains in patients’ psychosexual life. Many females with depression have sexual dysfunction which goes under diagnosed leading to reduced sexual and overall health quality of life. The aim of this study is to evaluate the risk of sexual dysfunction, sexual quality of life, and general health quality of life in a sample of Egyptian females diagnosed with major depression compared to a control group. Results The sample consisted of 100 participants recruited by convenience sampling, divided into a case group (50 female patients diagnosed with major depression enrolled from our institute’s outpatient clinic) and a control group (50 apparently healthy matched females enrolled from employees working in the university hospitals). Patients answered The Structured Clinical Interview for DSM-IV Axis I Disorders, the Female Sexual Function Index, the Sexual Quality Of Life-Female, and the WHO Quality of Life. Descriptive data analysis showed that all patients with major depression had a higher risk of sexual dysfunction compared to 36% in the control group, with higher rates of marital conflicts, unemployment, positive psychiatric family history and lower monthly income than those in controls. Correlation analysis showed a positive correlation between the sexual quality of life in the case group and the psychosexual feelings (emotional intimacy), self-worthlessness and the total score domains of the FSFI, and a positive correlation with psychosexual feelings, sexual relationship satisfaction, and self-worthlessness domains in the control group. Female sexual functioning scores were positively correlated with most of the WHO quality of life domains in the case group. Conclusions Female patients with major depression are distinctly prone to sexual dysfunction and marital problems that can lead to both defective sexual and overall health quality of life. This mandates thorough screening of the psychosocial risks of sexual dysfunction in patients with depression for early management and more satisfactory quality of life.