The study purpose was to determine the relationship between coping strategies and anxiety in primary family caregivers of palliative cancer patients. A cross-sectional study was carried out in a Pain and Palliative Care Unit in Spain. Data were collected through interviews from fifty primary family caregivers of palliative cancer patients. Main research variables were: (1) dependent variable: anxiety (subscale of anxiety from Goldberg's scale); (2) independent variable: coping (Brief COPE); (3) control variables: functional capacity and perceived burden. Analyses comprised descriptive statistics, correlation coefficients and multiple linear regression. Anxiety was present in the majority of caregivers surveyed (76%). Anxiety was related to the perception of perceived burden (β = 0.42, P < 0.001), the emotion-focused coping (β = −0.28, P = 0.01) and dysfunctional coping (β = 0.41, P < 0.001), after adjusting for control variables. Thus, emotion-focused coping is negatively associated with anxiety, while dysfunctional coping is positively associated with anxiety. Problem-focused coping is not related to anxiety. Assessment of coping should be done in a systematic way in caregivers of palliative cancer patients.