Objective The use of continuous sedation until death for terminally ill cancer patients with unbearable and untreatable psychological and existential suffering remains controversial, and little in‐depth insight exists into the circumstances in which physicians resort to it. Methods Our study was conducted in Belgium, the Netherlands, and the UK in hospitals, PCUs/hospices, and at home. We held interviews with 35 physicians most involved in the care of cancer patients who had psychological and existential suffering and had been continuously sedated until death. Results In the studied countries, three groups of patients were distinguished regarding the origin of their psychological and existential suffering. The first group had preexisting psychological problems before they became ill, the second developed psychological and existential suffering during their disease trajectory, and the third presented psychological symptoms that were characteristic of their disease. Before they resorted to the use of sedation, physicians reported that they had considered an array of pharmacological and psychological interventions that were ineffective or inappropriate to relieve this suffering. Necessary conditions for using sedation in this context were for most physicians the presence of refractory symptoms, a short life expectancy, and an explicit patient request for sedation. Conclusions Physicians in our study used continuous sedation until death in the context of psychological and existential suffering after considering several pharmacological and psychological interventions. Further research and debate are needed on how and by whom this suffering at the end of life should be best treated, taking into account patients' individual preferences. © 2013 The Authors. Psycho‐Oncology published by John Wiley & Sons, Ltd.