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Social variables have been associated with health status, especially in older people. However, it is unknown how loneliness and social isolation are differentially associated with physical and mental components of health-related quality of life (HRQoL). We aimed to examine this association, overall and by sex. We used data obtained from 1808 community-dwelling individuals older than 65 years participating in the Seniors-ENRICA 2 cohort. Baseline phase was conducted between December 2015 and June 2017, and then a two-year follow-up period was considered. Loneliness was assessed using the three-item UCLA Loneliness Scale, while social isolation was measured using a four-component index, which included contact with family members and friends. HRQoL was assessed with the SF-12 questionnaire, using its physical and mental components. Multivariable linear regression models were used in the overall sample and stratified by sex. Higher scores in loneliness were associated with a decrease in the physical HRQoL [Coef. = - 0.31, 95% confidence interval = (- 0.60, - 0.01), p = 0.042] and mental HRQoL [- 0.76 (- 1.11, - 0.43), p < 0.001]. There was no significant association between social isolation and HRQoL. The association between loneliness and the physical HRQoL was different by sex (p for interaction term = 0.028), and higher levels of loneliness were related to lower physical HRQoL scores only in women [- 0.53 (- 0.92, - 0.14), p = 0.007]. Loneliness had an independent association with HRQoL. This relationship seems to be stronger in women, which highlights the importance of a sex perspective in interventions to improve the HRQoL.