The objective of this study is to explore the nature and extent of the cognitive behavioral response to treatment, and the accompanying anxiety and/or depression in cancer patients with advanced disease. In a multicenter study, 247 patients treated with palliative radiotherapy filled out a questionnaire before start of treatment. The questionnaire consisted of Impact of Event Scale (IES), General Health Questionnaire (GHQ-20), and two questions assessing pain intensity. Seventy percent of the patients reported a high level of psychological distress. The mean score of the patient population on the IES was 14.4 (IES intrusion) and 15.3 (IES avoidance). The mean Likert score on the GHQ-20 was 27.3. Patients with poor performance status and pain were most distressed. In order to improve patients' care and support, cases at risk must be identified. In the present population, psychological distress is related to pain and reduced performance status.