Background: The study aimed to identify the most burdensome functioning domains in depression and their differential impact on the quality of life (QoL) of individuals from nine countries in Asia, Africa, Europe, and Latin America. Material and Methods: Data from two multi-country projects—the World Health Organization’s Study on Global Ageing and Adult Health (SAGE) and the Collaborative Research on Ageing in Europe (COURAGE)—were analyzed. Eight functioning domains (pain, mobility, self-care, cognition, interpersonal activities, domestic life and work, sleep and energy, and affect) and QoL were assessed in 4051 individuals with depression. Results: The analyses of the pooled sample showed that affect (ß=-0.21, p