OBJECTIVES In cost–effectiveness analyses (CEA), a paucity of health-related quality of life (HRQoL) data often necessitates use of utility values from populations which may be ill-matched with the disease modelled. Use of the most pertinent data increases model precision and the accuracy of CEA. This systematic literature review aimed to identify utility values derived from the EQ-5D in patients with breast cancer (BC) or prostate cancer (PC).  METHODS A systematic search was conducted using Medline, Embase and Cochrane databases. Eligible studies for inclusion comprised those reporting EQ-5D utility values in patients with BC or PC at any stage, undergoing or not receiving treatment. RESULTS CONCLUSIONS For BC and PC, disease progression, exposure to CT and worsening performance status were associated with decreases in utility values. For corresponding disease stages, utility values tended to be lower for BC than PC, although heterogeneity of data across study populations makes comparisons challenging. No studies reported utility values according to response to treatment. Further research is warranted to improve the evidence available for CEA.