We aimed to explore the inter-connection between depression and HRQOL dimensions in cancer patients using a network approach, which might provide new insights for precise interventions to improve cancer patients' overall HRQOL. Between June 1, 2016, and August 31, 2017, a total of 1735 eligible patients with heterogeneous types of cancer were recruited. The Zung Self-Rating Depression Scale (SDS) and the European Organization for Research and Treatment of Cancer Quality of Life Questionnaire (EORTC QLQ-C30) were used to measure patients' depression status and HRQOL, respectively. A regularized partial correlation network was established. Central and bridge symptoms/functions were identified using expected influence and bridge expected influence. A directed acyclic graph (DAG) was used to explore the possible causal relationship between depression and HRQOL dimensions. In this study, depression and 15 dimensions of the EORTC-QLQ-C30 scale were highly inter-correlated and could be represented as a network. We found that nearly two-thirds of cancer patients experienced various degrees of depression, and depression was consistently the central symptom in the network, in addition to nausea/vomiting, pain, and physical function. DAG and bridge symptoms indicated that depression might influence overall HRQOL in cancer patients mainly through emotional function, pain, physical function, and sleeplessness, particularly in cancer patients with moderate-to-severe depression. The disparity in network structures between mild and moderate-to-severe depression suggested that the relationship between depression and HRQOL dimensions might be bidirectional. The prevalence of depression remained high in Chinese patients with cancer, and depression may influence various symptoms and functions within the HRQOL network. Screening and early treatment of depression were warranted to improve the overall HRQOL of cancer patients, in addition to adequate treatment of pain and nausea/vomiting and improvement in physical function.