Purpose: A diagnosis of breast cancer or melanoma is a traumatic life event that patients have to face. However, their locus-of-control (LOC) beliefs and coping strategies as well as the associations with health-related quality of life (HRQoL) changes over time are still not well known and rarely compared by cancer site. Methods: The objective of this longitudinal study was to assess the association of LOC (Cancer Locus-of-Control Scale) and coping (Brief Cope) changes, with change in HRQoL (EORTC QLQ-C30) over time in newly diagnosed breast cancer and melanoma patients at 1, 6, 12, and 24 month post-diagnosis. Mixed models were used to compare LOC and coping longitudinal changes as well as their associations with HRQoL changes in early-stage breast cancer and melanoma patients. Results: Overall, 215 breast cancer and 78 melanoma patients participated in the study. At baseline, HRQoL levels were often higher for breast cancer compared to melanoma patients. For breast cancer and melanoma patients, negative coping strategies and perceived control over the course of illness were negatively and positively associated with HRQoL changes, respectively. For breast cancer patients only, emotional coping and internal causal attribution were negatively associated with HRQoL changes. For both cancer sites, living with a partner correlated with worse HRQoL. Conclusions: Understanding coping strategies and LOC beliefs used by patients soon after their cancer diagnosis and over the course of illness can help identifying psychological and supportive care to modify maladaptive thoughts and beliefs and promote more adaptive behaviors to ultimately improve patients' well-being and HRQoL.