The structure and thermodynamics of strongly coupled dusty plasmas are investigated with the soft mean spherical approximation. This integral theory approach is analytically solvable for Yukawa pair interactions yielding a closed-form solution for the direct correlation function. The pair correlation function, the structure factor, and basic thermodynamic quantities are calculated for a wide range of parameters. Exact consistency between the "energy"-"virial" thermodynamic routes and approximate consistency between the "energy"-"compressibility" paths is demonstrated. Comparison with extensive molecular dynamics results is carried out and a remarkable agreement from the Coulomb limit to the strongly screened limit is revealed. The soft mean spherical approximation is concluded to be particularly well suited for the study of dusty plasma liquids, uniquely combining simplicity and accuracy.