Background: Poor asthma control, often caused by non-adherence with controller medication, is a well-known risk factor for impaired quality of life (QoL) and major mood disorders (MMD). Previous studies have shown a relationship between non-adherence, lower QoL, and MMD across chronic diseases, but the relationship remains uncertain in asthma. Methods: All asthma patients followed at the respiratory outpatient clinic at Copenhagen University Hospital–Hvidovre were invited to fill-in the Hospital Anxiety and Depression Scale (HADS) and the Mini Asthma Quality of Life Questionnaire (miniAQLQ). Medication Possession Ratio (MPR) was calculated using pharmacy redemption data. Relationships between questionnaire scores, inhaled corticosteroid MPR and use of rescue medication were investigated using Pearson correlation and multivariable linear regression adjusted for age, sex, FEV₁, and GINA Step. Data from scheduled visits were collected from patients’ medical records. Results: A total of 308 patients (73% females, median age 51 years (interquartile range (IQR) 37, 62)) completed the questionnaires and had 1-year medication data available. Median adherence to inhaled corticosteroids (ICS) was 57% (35%, 75%) with 18% of patients having adherence above 80%. Of the participating patients, 14% and 27% reported depressive and anxiety-related symptoms, respectively, and 72% reported impaired QoL. In correlation analyses, ICS adherence was not significantly associated with either prevalence of MMD symptoms or impaired QoL in asthma patients. However, a strong correlation was found between ACQ-6 and both MMD symptoms and impaired QoL, as well as between rescue medication use and impaired QoL. In adjusted analysis, however, the latter correlation was no longer statistically significant. Conclusion: Our results suggest that ICS adherence is not directly correlated with either impaired quality of life or major mood disorder symptoms in asthma patients. Self-reported asthma control, on the other hand, is strongly correlated with both QoL and MMD.