Depression and mild cognitive impairment (MCI) are often comorbid mental health issues in older adults. The current study explored the prospective mediating role of loneliness in the relationship between depression and the quality of life in elderly with MCI. A second aim was to examine differences in depression, loneliness, and the quality of life in the elderly with MCI among gender groups, and type of residence groups. A cross-sectional survey with purposive sampling was used. Older adults with MCI (N=170) from old age homes in Lahore and Rawalpindi (n=82) and family residences in Sargodha (n=88) in Pakistan completed UCLA Loneliness Scale, Depression Anxiety Stress Scale, and Mild Cognitive Impairment Scale. Most of the participants had severe to extreme depression (98.2%), and moderate to moderately high levels of loneliness (85.3%). Depression was significantly associated with loneliness (b=0.29, P < 0.05) and poor quality of life in MCI (b=0.49, P < 0.001). The indirect effect of depression on the quality of life in MCI through loneliness was significant (95% confidence interval (CI) [0.002, 0.156]). However, the indirect effect of quality of life in MCI on depression through loneliness was not significant (95% CI [-0.001, 0.043]). The elderly with MCI living in old age homes had higher depression, loneliness, and poor quality of life. Elderly women had higher levels of depression and poor quality of life, whereas older men were lonelier. The relationship between depression and quality of life in the elderly with MCI may be bidirectional, and loneliness partially mediates only one of these relationships.