Human movement behaviours such as physical activity (PA) and sedentary behaviour (SB) during waking time have a significant impact on health-related quality of life (HRQoL) in older adults. In this study, we aimed to analyse the association between self-reported and device-measured SB and PA with HRQoL in a cohort of community-dwelling older adults from four European countries. A subsample of 1193 participants from the SITLESS trial (61% women and 75.1 ± 6.2 years old) were included in the analysis. The association between self-reported and objective measures of SB and PA with HRQoL were quantified using Spearman’s Rho coefficients. The strength of the associations between self-reported and device-measured PA and SB with self-rated HRQoL (mental composite score, MCS; physical composite score, PCS) were assessed through multivariate multiple regression analysis. Self-reported and device-measured PA and SB levels showed significant but poor associations with PCS (p < 0.05). The association with MCS was only significant but poor with self-reported light PA (LPA) and moderate-to-vigorous PA (MVPA). In conclusion, the findings of this study suggest that both self-reported and device-measured PA of all intensities were positively and significantly associated, while SB was negatively and significantly associated with the PCS of the SF-12.