While implantable cardioverter-defibrillators (ICDs) improve survival, their benefit in terms of health-related quality of life (HRQOL) is negligible. To examine how shocks and congestive heart failure (CHF) mediate the effect of ICDs on HRQOL. The US patients from the MADIT-II (Multicenter Automatic Defibrillator Trial-II) trial (n = 983) were randomized to receive an ICD or medical treatment only. HRQOL was assessed using the Health Utility Index 3 at baseline and 3, 12, 24, and 36 months following randomization. Logistic regressions were used to test for the effect of ICDs on the CHF indicator, and linear regressions were used to examine the effect of ICD shocks and CHF on HRQOL in living patients. We used a Monte Carlo simulation and a parametric Weibull distribution survival model to test for the effect of selective attrition. Observations were clustered by patients and robust standard errors (RSEs) were used to control for the non-independence of multiple observations provided by the same patient. Patients in the ICD arm had 41% higher odds of experiencing CHF since their last assessment compared with those in the control arm (RSE = 0.19, p = 0.01). Developing CHF reduced HRQOL at the subsequent visit by 0.07 (p < 0.01). Having ICD shocks reduced overall HRQOL by 0.04 (p = 0.04) at the subsequent assessment. The negative effect of ICD firing on HRQOL was an order of magnitude greater than the effect of CHF. A higher prevalence of CHF and shocks among patients with ICDs and their negative effect on HRQOL may partially explain the lack of HRQOL benefit of ICD therapy.