Patients with advanced cancer experience multiple demands and losses that place them at risk for experiencing psychological distress. Researchers can face challenges in conducting research among this population because of their poor levels of physical and cognitive functioning. This paper aims to develop our understanding of these challenges. A systematic literature review was conducted of papers describing surveys in which a stated aim was to measure rates of psychological distress or psychiatric morbidity among patients with advanced cancer. We also included papers that focused on the development of assessment tools. Studies were identified through computerized (MEDLINE and PsycINFO) and manual searches for the years 1995-2009. Twenty-eight papers met the inclusion criteria. They describe findings in relation to a total of 3942 patients. The sample sizes ranged from 25 to 422 (median = 87). The main methodological challenge identified is the recruitment of large and representative samples. Significant portions of the advanced cancer population are excluded from distress studies or are refusing to take part. In conclusion, researchers can enhance the methodological knowledge base by presenting more detailed accounts of the participant recruitment and data collection processes. Future researchers should strive to develop more flexible methods of assessing distress among patients with advanced disease.