This work aims to investigate the factors associated with psychological distress in advanced cancer patients under palliative treatment. We comprehensively assessed the demographic, psychosocial and health factors of 158 advanced cancer patients. Patients with high and low distress, according to the Hospital Anxiety and Depression Scale, were compared. A regression analysis was built to identify the best predictors of distress. Patients with high psychological distress (81%) were more likely to have lung cancer, suicidal ideation, hopelessness, low quality of life and poor body image than those without. In the multivariate model, only poor emotional functioning (OR = .89; 95% CI = .83–.95; p ≤ .001), hopelessness (OR = .86; 95% CI = .78–.94; p ≤ .001) and body image distortions (OR = .77; 95% CI = .68–.85; p = .005) were retained. High levels of hopelessness, impaired emotional functioning and body image distortions are the main factors associated with psychological distress in patients with advanced cancer. Potential interventions to modify these factors in palliative units are discussed.