Pretreatment health-related quality of life (HRQoL) may identify supportive care needs, but the joint contribution of symptom burden, depressive symptoms, and resilient coping remains insufficiently characterized. This multicenter baseline analysis included 194 adults with breast (n = 86), gynecological (n = 77), or genitourinary (n = 31) cancer from six Spanish hospitals before systemic therapy. Global HRQoL was assessed with the EuroQol visual analogue scale EQ-VAS; symptom burden with EORTC QLQ-C30 symptom scales/items; depressive symptoms with the Brief Symptom Inventory-18 depression subscale; and resilient coping with the Brief Resilient Coping Scale. EQ-VAS scores did not differ by tumor site (p = 0.369). Symptom burden was strongly inversely associated with HRQoL (r = −0.827, p < 0.001). In the moderated mediation model, higher symptom burden was associated with higher depressive symptoms (B = 0.275, 95% CI 0.118 to 0.431); symptom burden (B = −0.642, 95% CI −0.715 to −0.569) and depressive symptoms (B = −0.529, 95% CI −0.743 to −0.316) were associated with lower HRQoL scores. Indirect effects through depressive symptoms were statistically different from zero, but resilient coping did not significantly moderate this indirect association. These cross-sectional findings support pretreatment screening for symptoms and depressive symptoms to guide early supportive oncology care.