The growing interest in the mental health and quality of life of cancer patients, has been the major reason for conducting this study. The aims were to compare advanced cancer patients' responses to Hospital Anxiety and Depression (HAD) scale with those to European Organization for Research and Treatment of Cancer Quality of Life Questionnaire (EORTC QLQ-C30, version 3.0), as well as the impact of quality of life dimensions (as measured by EORTC QLQ-C30) on the levels of anxiety and depression. The analysis, conducted in 120 advanced cancer patients, showed that the most significant associations were found between emotional functioning and HAD-T (total sum of scores) (r=-0.747; p < 0.0005), HAD-A (anxiety) (r=-0.725; p < 0.0005) and HAD-D (depression) (r=-0.553; p < 0.0005). In the prediction of HAD-T, the contribution of physical, emotional, role, and social functioning along with nausea-vomiting, dyspnea, sleep disturbance and gender is high. For anxiety, the predictor variables were physical, role, cognitive, emotional, and social functioning, followed by dyspnea, sleep disturbance, and appetite loss, while depression was predicted by physical, role, emotional, and social functioning, the symptoms of nausea-vomiting, pain, sleep disturbance, constipation, as well as the variables of age, gender, anticancer treatment and performance status. Concluding, psychological morbidity, in this patient population, was predominantly predicted by the emotional functioning dimension of EORTC QLQ-C30.