Objective This study aimed to (i) explore the prevalence and levels (severity) of anxiety and depression in family caregivers (FCs) of patients newly diagnosed with advanced lung cancer (stage IIIb or IV) before first treatment, and (ii) identify the factors related to FCs' anxiety and depression. Methods For this cross‐sectional study, 106 patient–FC dyads were recruited from a medical center in northern Taiwan. FCs' anxiety and depression were measured using the self‐report Hospital Anxiety and Depression Scale, and FCs' ability to manage patients' symptoms was assessed using the Self‐Efficacy in Symptom Management Scale. FCs' risks for anxiety and depression were separately identified using two multivariate logistic regression models. Results This study found two major results. First, before patients' first treatment, 50.9% and 32.1% of FCs were at risk for anxiety and depression, respectively. FCs' overall mean anxiety and depression scores were 7.7 (SD = 4.7) and 6.1 (SD = 4.5), respectively. Second, both FCs' anxiety and depression were significantly related to four factors: caring for another sick family member, younger age, having pain problems, and lower self‐efficacy in managing symptoms. Conclusion Family caregivers of patients newly diagnosed with advanced lung cancer had anxiety and depression before the patients' first treatment. We strongly suggest developing and testing interventions to reduce FCs' psychological distress and enhance their quality of life, thus ensuring better quality of patient care. Copyright © 2013 John Wiley & Sons, Ltd.