Objective Psychiatric manifestations and personality traits are known to influence cancer patients. We aimed to assess psychological distress symptoms, psychosocial factors and health‐related quality of life (HRQoL) in cancer of unknown primary site (CUP) and to test whether these parameters differ between CUP and Metastatic (MKPC) or Non‐Metastatic Known Primary Cancers (N‐MKPC) after controlling for demographics and clinical variables. Methods In this cross‐sectional study, we recruited 50 CUP, 264 N‐MKPC and 52 MKPC participants. We assessed depressive symptoms (Center for Epidemiologic Studies‐Depression [CES‐D]), psychological distress symptoms (Symptom Distress Checklist‐90 Revised), sense of coherence (SOC), ego defense mechanisms (Life Style Index) and HRQoL (World Health Organization Quality of Life Instrument, Short Form). Results The prevalence of clinically significant depressive symptoms (CES‐D ≥ 23) was 40.0% in CUP, 28.8% in MKPC and 23.5% N‐MKPC (p = 0.037). Multivariate logistic regression analysis showed that N‐MKPC patients were 5 times less likely (p = 0.028) and MKPC patients 3.3 times less likely (p = 0.05) to be assessed with probable depression compared with CUP patients after controlling for the major demographic and clinical variables studied. CUP patients presented also higher levels of somatization, anxiety and depressive symptoms; they also had more impaired Physical (p = 0.005), Mental (p = 0.041) and Social Relations (p = 0.044) HRQoL, along with lower scores on SOC and intellectualization defense and higher scores on repression defense, compared with MKPC and N‐MKPC patients. Conclusions These findings suggest that psychiatric manifestations are frequent in CUP, and the patients' resources to cope with the burden of their illness are limited. Attention to CUP patients' psychological distress and coping resources and capacities may enable oncologists to identify and manage modifiable aspects of HRQoL. Copyright © 2013 John Wiley & Sons, Ltd.