This is a descriptive, cross-sectional study aimed at investigating the health-related quality of life (HRQoL) of nursing students and its relationship with year of training, sociodemographic variables and the intensity of depressive symptoms. A convenience sample of 256 students, out of 353 eligible (72%), responded to the Medical Outcomes Study - The 36 Item Short-Form Health Survey (SF-36) and the Beck Depression Inventory (BDI) (self-administered). Final-year students, females and students with a higher intensity of depressive symptoms presented lower SF-36 scores in the physical functioning, vitality and social functioning domains. Institutional psychopedagogic support programs may minimize this negative impact on the HRQoL and encourage better professional performance of students in higher vulnerability situations.