Background: Psychological distress impacts 35–40% of cancer patients, significantly affecting their quality of life, treatment adherence, and relationships with healthcare professionals. Given this, there is a critical need to enhance nursing competencies to effectively monitor and address psychological distress. Previous studies have highlighted discrepancies in capabilities based on nurses’ training status, emphasizing trained nurses’ critical role in providing appropriate psycho–social referrals. Objective: To evaluate the impact that trained nurses have on the detection of distress and the timely referral of patients for a psycho–oncology consultation. Methods: A blinded, random, descriptive, monocentric pilot study was conducted. The participants were adult patients in Day Hospital 1 of the National Cancer Institute Regina Elena, Rome, irrespective of illness stage. Tools used included a socio-demographic and clinical data form, distress thermometer (DT), and visual analogic scale (VAS). Patients were randomly divided into two groups: Group A, where questionnaires were administered by trained nurses, and Group B, where non-trained nurses administered questionnaires. Nurses indicated whether patients needed a psycho–oncology consultation. All patients were then seen by a psycho–oncology specialist to determine whether the nurse’s referral was appropriate. Patients and psycho–oncologists were all unaware of the nurses’ training status. The effectiveness of the training was measured by the degree of agreement between evaluators. Results: This study involved 20 patients and four nurses. The average DT score was 5, mainly related to physical and emotional problems. Agreement between evaluators was higher in the trained nurses’ group. Conclusions: Specific training on DT enabled nurses to acquire advanced skills to accurately refer patients for psychological consultations.