Health-related quality of life (HRQoL) and vulnerability are variably affected in patients with myelodysplastic syndromes (MDS) and other cytopenic states; however, the heterogeneity of these diseases has limited our understanding of these domains. The National Heart, Lung, and Blood Institute-sponsored MDS Natural History Study is a prospective cohort enrolling patients undergoing workup for suspected MDS in the setting of cytopenias. Untreated patients undergo bone marrow assessment with central histopathology review for assignment as MDS, MDS/myeloproliferative neoplasm (MPN), idiopathic cytopenia of undetermined significance (ICUS), acute myeloid leukemia (AML) with <30% blasts, or "At-Risk." HRQoL data are collected at enrollment, including the MDS-specific Quality of Life in Myelodysplasia Scale (QUALMS). Vulnerability is assessed with the Vulnerable Elders Survey. Baseline HRQoL scores from 449 patients with MDS, MDS/MPN, AML <30%, ICUS or At-Risk were similar among diagnoses. In MDS, HRQoL was worse for vulnerable participants (eg, mean Patent-Reported Outcomes Management Information Systems [PROMIS] Fatigue of 56.0 vs 49.5; P < .001) and those with worse prognosis (eg, mean Euroqol-5 Dimension-5 Level [EQ-5D-5L] of 73.4, 72.7, and 64.1 for low, intermediate, and high-risk disease; P = .005). Among vulnerable MDS participants, most had difficulty with prolonged physical activity (88%), such as walking a quarter mile (74%). These data suggest that cytopenias leading to MDS evaluation are associated with similar HRQoL, regardless of eventual diagnosis, but with worse HRQoL among the vulnerable. Among those with MDS, lower-risk disease was associated with better HRQoL, but the relationship was lost among the vulnerable, showing for the first time that vulnerability trumps disease risk in affecting HRQoL. This study is registered at www.clinicaltrials.gov as NCT02775383.