Background Existential behavioural therapy (EBT) was developed to support informal caregivers of palliative patients in the last stage of life and during bereavement as a manualised group psychotherapy comprising six sessions. We tested the effectiveness of EBT on mental stress and quality of life (QOL). Methods Informal caregivers were randomly assigned (1:1) to EBT or a treatment‐as‐usual control group using computer‐generated numbers in blocks of 10. Primary outcomes were assessed with the Brief Symptom Inventory (subscales somatisation, anxiety and depression), the Satisfaction with Life Scale (SWLS), the WHOQOL‐BREF and a numeric rating scale for QOL (QOL‐NRS, range 0–10). Data were collected at baseline, pre‐treatment, post‐treatment and follow‐ups after 3 and 12 months. Treatment effects were assessed with a multivariate analysis of covariance. Results Out of 160 relatives, 81 were assigned to EBT and 79 to the control group. Participants were 54.5 ± 13.2 years old; 69.9% were female. The multivariate model was significant for the pre‐/post‐comparison (p = 0.005) and the pre‐/12‐month comparison (p = 0.05) but not for the pre‐/3‐month comparison. Medium to large effects on anxiety and QOL (SWLS, WHOQOL‐BREF, QOL‐NRS) were found at post‐treatment; medium effects on depression and QOL (QOL‐NRS) emerged in the 12‐month follow‐up. No adverse effects of the intervention were observed. Conclusion Existential behavioural therapy appears to exert beneficial effects on distress and QOL of informal caregivers of palliative patients. Further longitudinal evidence is needed to confirm these findings. Copyright © 2013 John Wiley & Sons, Ltd.