The growing interest in the psychological distress and the multidimensionality of pain in patients with cancer has been the major reason for the conduction of this study. The aims were to evaluate psychological distress and pain in patients with advanced cancer and the impact of pain severity and pain interference dimensions on the anxiety and depression. One hundred twenty patients with advanced cancer were surveyed at a palliative care unit in Athens, Greece. Greek versions of the Hospital Anxiety and Depression (G-HAD) scale and the Brief Pain Inventory were administered. Information concerning patients' treatment received was acquired from the medical records, whereas physicians recorded their clinical condition. The analysis showed that significant associations were found between pain interference to "mood" and HAD-A (anxiety) (r = 0.252, P = .005) and between pain interference to "relations with other people" and HAD-A (r = 0.474, P < .0005). Multiple regression analyses showed that "average pain" (P < .05), pain interference to "walking ability" (P < .05), "normal work" (P < .05, and "relations with other people" are significant predictors of HAD-anxiety (HAD-A) (P < .0005), explaining 46.2% of total variance. For depression (HAD-D), the Greek version of the Brief Pain Inventory dimension that serve as predictor is "enjoyment of life," as well as the demographic variables of "age," and "gender" (P < .05), explaining 22.2% of variance. Moreover, a further analysis of the pain severity and pain interference scales showed that they differentiate the anxiety of the patients with cancer. In this patient sample, pain interference and, to a lesser extent, pain severity was significantly associated with psychological distress (anxiety and pain), whereas pain interference to "walking ability," "normal work," and "relations with other people" was found to be more prominent and troublesome to patients' anxiety than that to patients' depression.