Background: The determination of the extent and specific features of the psychological distress to be expected in a cancer centre may influence the choice of interventions to be implemented for addressing these problems. This study was aimed at estimating the prevalence of psychological distress in patients attending a second reference cancer centre in Milan (Italy), and at identifying associated factors. Patients and Methods: 190 consecutive patients were assessed within 3 days of hospital discharge using the Hospital Anxiety and Depression Scale. Results: Major depressive disorders or generalised anxiety disorders were estimated in 16% of the patients. Only 2 of these patients were referred to the psycho-oncology unit, hence the psychological distress of many patients was not considered during their hospital stay. In the multiple regression analysis, independent predictors of psychological distress were female gender, experience of disturbance in family and social life due to illness, nausea and vomiting, and perception of being in a poor state of health (R2 = 0.31, p value < 0.001), while physical functioning, fatigue and pain, significant factors in univariate analysis (p < 0.05), sociodemographic and clinical factors were not predictors. Conclusion: The psycho-oncology team should focus on helping doctors and nurses identify the patients’ psychological problems, dealing with them or making a referral.