--- - |2+ Abstract Objective Quality of life (QOL) and psychological distress at end of life (EOL) heavily depend on symptom distress and functional impairment, which may not deteriorate synchronously at EOL. Methods Using multivariate hierarchical linear modeling, we simultaneously evaluated the differential association of 5 previously identified, worsening conjoint symptom‐functional states with QOL, anxiety symptoms, and depressive symptoms over 317 terminally ill cancer patients' last year of life. Quality of life, anxiety symptoms, and depressive symptoms were measured by the McGill Quality of Life Questionnaire and the Hospital Anxiety and Depression Scale, respectively. Results Quality of life, anxiety symptoms, and depressive symptoms deteriorated significantly more for patients in the 4 worst symptom‐functional states (states 2‐5) than in the best state (state 1). Quality of life did not differ significantly among patients in states 2 to 5. However, patients in state 4 had significantly lower anxiety‐symptom levels than patients in states 2, 3, and 5, whose anxiety‐symptom levels did not differ significantly. In contrast, depressive‐symptom levels differed significantly between participants in any 2 of the worst symptom‐functional states, except between participants in states 3 and 5 as well as between those in states 2 and 4. Conclusion The 5 distinct symptom‐functional states contributed to worsening QOL, anxiety symptoms, and depressive symptoms, but each was negatively and uniquely associated with psychological well‐being in terminally ill cancer patients' last year of life. Clinical Implications The psychological well‐being and QOL of high‐risk patients in states 3 and 5 may be improved at EOL by targeting them with appropriate symptom management interventions and facilitating their functioning. - Psycho-Oncology, Volume 27, Issue 9, Page 2111-2118, September 2018.