Cancer patients may experience significant distress. The “Emotion Thermometers” (ETs) are a short visual analogue scale used to screen patients for psychosocial risk. This study aimed to assess emotional distress in a large sample of cancer patients attending psychological services at an non-governmental organization (NGO), and to explore factors that may contribute to it. The ETs were answered by 899 cancer patients. They were, on average, 59.9 years old, the majority were female, had breast cancer, were under treatment or were disease-free survivors, and reported high levels of emotional distress, above the cut-off (≥5). A Generalized Linear Model was used to measure the association between the level of distress, age, gender, disease phase and 33 items of the problem list. Four items—sadness, depression, sleep and breathing—were found to be significantly related to a higher level of distress. Additionally, women and patients who were in the palliative phase also had significantly higher levels of distress. The results confirm the need for early emotional screening in cancer patients, as well as attending to the characteristics of each patient. Additionally, they highlight the utility of the ETs for the clinical practice, allowing to optimize the referral to specialized psychosocial services.