Health-related quality of life (HRQoL) assessment has interest as an indicator of degree of affectation and prognosis in mental disorders. HRQoL is impaired in both Substance Use Disorder (SUD) and Major Depressive Disorder (MDD), two conditions highly prevalent, although less studied when both are coexisting (SUD + MDD). Hence, we decided to explore HRQoL with the SF-36 survey in a sample of 123 SUD and 114 SUD + MDD patients (51 symptomatic and 63 asymptomatic of depressive symptoms) under treatment. We performed analyses to examine HRQoL among groups, and its predictive value at 3-, 6- and 12-month follow-ups through regression models. Patients with SUD + MDD had worse HRQoL than SUD patients and population norms. For Mental Health, Vitality, and General Health dimensions, lower scores were observed for SUD + MDD regardless the presence/absence of depressive symptoms. For Physical Functioning and Health Change, depressive symptomatology and not the comorbidity of SUD + MDD diagnoses explained HRQoL limitations. At 3-, 6- and 12-month follow-ups we observed two predictors of relapses, General Health for asymptomatic SUD + MDD, and Physical Functioning for SUD. Improving HRQoL in SUD + MDD may be targeted during patient’s treatment; future studies should explore the influence of HRQoL on patient’s prognosis taking into account the presence/absence of depressive symptomatology.