Objectives. A significant number of patients with systemic lupus erythematosus (SLE) have depression, and many are untreated. We aim to assess the frequency of moderate to severe depression (MSD) in a multiethnic group of SLE patients with different sociodemographic backgrounds, identify modifiable factors associated with depression, and determine the impact of depression, disease activity, damage, cognitive function, and pain severity on health-related quality of life (HRQoL). Methods. Ninety-nine patients with SLE were evaluated in a cross-sectional study. Sociodemographic data, Beck Depression Inventory (BDI II), SLE disease activity index (SLEDAI-2K), SLICC Damage Index (SLICC-DI), pain severity (10 cm visual analogue scale), cognitive function (Automated Neuropsychologic Assessment Metrics (ANAM)), and the physical (PCS) and mental (MCS) component scores of the Short Form Health Survey (SF-36) were recorded. Bivariate analysis identified potential associations of relevant variables with BDI II and SF-36. Regression analysis determined independent correlates with MSD, PCS, and MCS. Results. Over 50% of subjects (50.5%) were African-American, 37.1% had a family income of ≤$20,000, and 31.3% had MSD. In the bivariate analysis, family income, SLEDAI-2K, cognitive function, and pain severity were associated with MSD. Using binary logistic regression, SLEDAI-2K and pain severity remained independently correlated with MSD (
p
=
0.004
). In the multiple linear regression analysis, pain severity was the only independent correlate of PCS (
p
<
0.0001
), while cognitive function and BDI II were the main factors associated with MCS (
p
=
0.020
and
p
<
0.0001
, respectively). Conclusion. Pain severity and disease activity are associated with MSD in our unique population, are potentially modifiable, and deserve further attention in the clinic. Depression and pain significantly affect HRQoL and should be aggressively managed.