Objective Caregivers of advanced cancer patients provide extensive care associated with high levels of caregiver distress. The degree to which cancer caregiving increases caregivers' risk for a psychiatric disorder is unknown. The current study examines whether advanced cancer caregiving poses distinct risks for initial and recurrent major depressive episodes (MDEs) and generalized anxiety disorder (GAD) relative to the general population. Methods Caregivers of advanced cancer patients (N = 540) from Coping with Cancer were compared to general population controls (N = 9282) from the National Comorbidity Survey Replication. The general population comparison sample was propensity‐weighted to be demographically similar to the caregiver sample. Results Caregivers of advanced cancer patients were more likely than individuals in the general population to have an initial MDE (OR = 7.7; 95% CI, 3.5‐17.0; P < .001), but no more likely than the general population to have a recurrent MDE (OR = 1.1; 95% CI, 0.6‐2.1; P = .662). Caregivers were also more likely than the general population to have GAD (OR = 3.0; 95% CI, 1.9‐4.8; P < .001) and comorbid MDE and GAD (OR = 2.5; 95% CI, 1.1‐5.9; P = .038). Conclusions The increased risk of meeting diagnostic criteria for current MDE and GAD and comorbid MDE and GAD associated with advanced cancer caregiving highlights the degree of emotional burden among cancer caregivers. Clinical services that assess, prevent, and treat depression and anxiety in cancer caregivers are needed to reduce the burden of caregiving and improve the mental health of this growing population.