This study aimed to compare depression, anxiety and quality of life (QoL) between cachexia and non-cachexia patients, and explore the relationship between cachexia and depression, anxiety and QoL in patients with cancer. A total of 528 patients from cancer centres of four hospitals were enrolled in this cross-sectional study. All patients were divided into cachexia and non-cachexia according to international consensus definition of cachexia. Patient Health Questionnaire-9 (PHQ-9), Generalized Anxiety Disorder-7 (GAD-7) and Quality of Life Questionnaire-Cancer 30 (QLQ-C30) were used to evaluate depression, anxiety and QoL. 285 patients (53.98%) were classified as cachexia. The prevalence of depression, anxiety, severe depression and severe anxiety in cachexia was 30.2%, 18.6%, 6.7% and 8.4%, respectively, which were significantly higher than in non-cachexia (all p<0.01). Patients with cachexia obviously acquired poorer physical function (PF), role function (RF), cognitive function (CF), emotional function (EF), social function (SF) and overall QoL than non-cachexia patients (all p<0.01). Cachexia was positively associated with depression (unstandardised coefficient (B)=2.123, p<0.001) and anxiety (B=1.123, p=0.024), and had a negative relationship with PF, CF, EF, SF and overall QoL (all B<0, all p<0.05). Cachexia was associated with greater depression and anxiety and poorer QoL in patients with cancer, which emphasised the importance of timely identification and management of cachexia to improve the psychological problems and QoL among patients with cancer. © Author(s) (or their employer(s)) 2020. No commercial re-use. See rights and permissions. Published by BMJ.