Background: The goal of cancer care is to improve not only survival duration but also health-related quality of life (HRQoL). Progression-free survival (PFS) has become an important surrogate outcome in assessing efficacy of new cancer drugs, but the relationship between improved PFS and HRQoL is not clear, particularly in the absence of an overall survival (OS) benefit. The objective of this study was to examine the relationship between PFS and HRQoL through a systematic review and analysis of published evidence. Methods: We searched MEDLINE, Embase, and Cochrane databases for randomized controlled human trials addressing oncology treatments published since 2000. We utilized the difference in median PFS time duration between treatment groups, with eligible trials being those reporting no significant OS benefit. We calculated and compared HRQoL between treatment groups using the difference in standardized mean incremental area under the curve adjusted to per month values. Weighted simple regressions were used to examine the PFS-HRQoL association, separately for physical, emotional, and global HRQoL domains. Results: 35,960 citations were identified, with 42 final articles reporting 30 clinical trials being eligible for inclusion. The 30 trials involved 10,731 patients across 12 types of cancer using 6 different instruments. 67% of all trials had improved PFS, and 56%, 54%, and 62% of trials had improved physical, global, and emotional HRQoL, respectively. The PFS with physical domain (n = 18) regression coefficient (slope) β = -0.205 (95% CI; -0.649 to 0.239), with emotional domain (n = 13) β = 0.775 (95% CI; -0.048 to 1.598), and with global domain (n = 24) β = 0.094 (95% CI; -0.271 to 0.459). Conclusions: Our systematic review and analyses revealed weak and nonsignificant association between PFS and HRQoL. In the absence of OS benefit, when longer PFS doesn’t correspond to better HRQoL, using PFS as the proxy for efficacy for oncology drugs is problematic.