Objectives Despite growing research interest in spirituality and health, and recommendations on the importance of spiritual care in advanced cancer and palliative care, relationships between spiritual belief and psychological health near death remain unclear. We investigated (i) relationships between strength of spiritual beliefs and anxiety and depression, intake of psychotropic/analgesic medications and survival in patients with advanced disease; and (ii) whether the strength of spiritual belief changes as death approaches. Methods We conducted a prospective cohort study of 170 patients receiving palliative care at home, 97% of whom had a diagnosis of advanced cancer. Data on strength of spiritual beliefs (Beliefs and Values Scale [BVS]), anxiety and depression (Hospital Anxiety and Depression Scale [HADS]), psychotropic/analgesic medications, daily functioning, global health and social support were collected at recruitment then 3 and 10 weeks later. Mortality data were collected up to 34 months after the first patient was recruited. Results Regression analysis showed a slight increase in strength of spiritual belief over time approaching statistical significance (+0.16 BVS points per week, 95% CI [−0.01, 0.33], p = 0.073). Belief was unrelated to anxiety and depression (−0.15 points decrease in HADS for 10 points increased in BVS (95% CI [−0.57, 0.27], p = 0.49) or consumption of psychotropic medication). There was a non‐significant trend for decreasing analgesic prescription with increasing belief. Mortality was higher over 6 months in participants with lower belief at recruitment. Conclusion Results suggest that although religious and spiritual beliefs might increase marginally as death approaches, they do not affect levels of anxiety or depression in patients with advanced cancer. © 2013 The Authors. Psycho‐Oncology published by John Wiley & Sons, Ltd.