Cancer’s profound impact on emotional well-being necessitates an exploration into the underlying psychological mechanisms influencing depression and anxiety in patients. In this study, we explored the potential role of self-compassion, alexithymia, and cognitive emotion regulation mechanisms in influencing depressive and anxiety symptoms among cancer patients. A total of 151 stage 4 cancer patients participated. Instruments applied included the Beck Depression Scale (BDS), Beck Anxiety Inventory (BAI), Self-Compassion Scale (SCS), Cognitive Emotion Regulation Scale (CERQ), Toronto Alexithymia Scale (TAS), Visual Analogue Scale (VAS), and Brief Psychological Resilience Scale (BRS). The multivariate analysis utilizing the independent variables—SCS, adaptive and maladaptive CERQ, TAS subscales, BRS, and VAS scores—accounted for 39% of the variance seen in BDI (F (8142) = 11.539, p < 0.001). Notably, SCS, adaptive CERQ, and BRS had a negative predictive impact on BDI. Our findings substantiate a statistically significant partial mediatory role of resilience and cognitive emotion regulation in the association between self-compassion and depression. This research accentuates the central role self-compassion, emotional resilience, and cognitive regulation play in the emotional well-being of individuals diagnosed with cancer. Targeted therapeutic interventions focusing on these dimensions may enhance the psychological health of patients, ultimately improving overall treatment outcomes in the oncological setting.