Objective: To establish the presence of stress, anxiety and depression in palliative care patients and caregivers and determine the relation with burden and strain of the caregiver. Methods: A total of 81 male and female patients who were diagnosed with cancer and 81 male and female primary caregivers were recruited in a palliative care unit of an Oncology Hospital. Clinical and sociodemographic data of participants were collected. The Perceived Stress Scale and the Beck Anxiety and Depression Inventory were used. The caregivers completed the Zarit Burden Interview and the Caregiver Strain Index. Results: More than 60% of the patients evaluated were women, with breast and cervical cancers being the most frequent. Among men, gastrointestinal cancer was the most frequent. The majority of patients was married, with children, without a basic education, unemployed and of low social status. A typical profile of the caregiver of the cancer patient was observed: women (79%, daughter or wife), with basic education, married, with children, with occupation at home, and of low socioeconomic level. Among both patients and caregivers, 23% reported having stress. Of the total number of patients, 54% had depressive symptoms that require greater psychiatric attention. Both caregiver burden (p < 0.005) and caregiver strain (p < 0.000) were associated with depressive symptoms. Conclusions: It is necessary to create multidisciplinary interventions for cancer patients in the palliative care stage and their principal caregivers, which should be carried out in order to improve their mental health.