To date no published reviews have examined the effects of systemic therapy on health-related quality of life (HRQOL) in patients with advanced breast cancer. We did a systematic review identifying 19 randomised controlled trials, with 5732 participants. Most of the trials (12) involved chemotherapy, but six involved hormonal therapies, and one a biological therapy. 15 studies assessed HRQOL as a secondary endpoint; only seven reported any significant differences in HRQOL between treatment groups. We identified several limitations with methods. Most studies reported problems with withdrawal of patients, which reduces statistical power and can lead to bias. Baseline characteristics of patients were not reported in many cases, and only three studies examined clinical significance. We conclude that HRQOL data provide some invaluable insights into the treatment and care of patients, but future studies should address several common problems with methods. We propose some approaches to overcome these limitations and improve future study designs.