A cancer diagnosis can have a substantial impact on a patient’s mental health and quality of life. The aim of this study was to investigate the prevalence of fatigue, emotional distress, and uncertainty and examine the predictive value they have on the quality of life of advanced cancer patients. A prospective, multicenter study was conducted between February 2020 and May 2021 of individuals diagnosed with an advanced, unresectable neoplasm prior to initiating systemic antineoplastic treatment. Participants completed questionnaires to quantify fatigue, emotional distress, disease uncertainty, and quality of life. A linear regression analysis was performed to study the predictive QoL variables. The study population comprised 508 patients, 53.7% of whom were male and had a mean age of 54.9 years. The most common cancers were digestive (40.6%), bronchopulmonary (29.1%), and breast (8.5%); the most frequent histology was adenocarcinoma (63%); and most were stage IV (79.7%). More than half (55.7%) suffered fatigue, and 47.7% exhibited emotional distress; both were more prevalent among women. Fatigue, emotional distress, and disease uncertainty all correlate with diminished quality of life. Similarly, ECOG performance status and the demographic variables of age, sex, and comorbidities impacted quality of life. This patient sample displayed a high prevalence of fatigue and emotional distress, together with illness uncertainty, which are clearly linked to waning quality of life. To decrease the experience of fatigue and improve mental health treatment in cancer patients, interventions based on a biopsychosocial model must be intensified.