This study examined the associations of different levels of depression with pain, sleep quality, fatigue, functional exercise capacity, overall fibromyalgia (FM) severity, and health-related quality of life (HRQoL) in women with FM. A total of 451 women with FM participated in this cross-sectional study. Depressive symptoms (Beck Depression Inventory; BDI-II), pain intensity (numerical rating scale; NRS), pain sensitivity (algometry), sleep quality (Pittsburgh Sleep Quality Index), fatigue (Multidimensional Fatigue Inventory), functional exercise capacity (6-min walk test), FM severity (revised Fibromyalgia Impact Questionnaire), and HRQoL (SF-36) were assessed. Participants with severe depressive symptoms had significantly higher pain intensity (NRS = 1.1; 95 % CI 0.3-1.8), fatigue (12.6-units; 95 % CI 8.2-17.1) and overall FM severity (12.6-units; 95 % CI 11.4-23.7), as well as poorer sleep quality (3.2-units; 95 % CI 1.7-4.7) and mental component of HRQoL (-17.0-units; 95 % CI -21.0 to -12.9) than participants with minimal signs of depression. There was no association of signs of depression with pain sensitivity, exercise capacity, or the physical component of HRQoL (P > 0.05). These results extend current knowledge on the association of signs of depression with FM severity and quality of life in women with FM, and suggest that severity of depressive symptoms could potentially be a prognostic factor to be considered in future prospective intervention studies.