Objective Enhanced recruitment of patients with advanced cancer (ACP) to early phase (EP) trials is needed. However, selective recruitment may affect the kinds of patients who are recruited. To address whether ACP who initiate EP trial enrollment differ from those who do not, we prospectively surveyed ACP well in advance of potential trial recruitment and followed them over time to identify those who initiated the recruitment process. Methods EP trial initiation was defined as a patient being referred for screening to an active EP trial. Depression and anxiety were assessed with the Patient Health Questionnaire (PHQ‐9) and Generalized Anxiety Disorder Scale (GAD‐7), respectively. Demographic and disease characteristics, functional status, and patient preferences regarding decision making were examined as possible predictors of EP trial initiation. Results Of the 78 advanced cancer patients in the cohort studied, 21 (27%) initiated EP trial participation, while 57 (73%) did not. Of those who initiated this process, 14 (67%) went on to enroll in an EP study. Level of depression severity was associated with EP trial initiation, with rates of initiation nearly three times higher (35% vs. 12%, p = 0.054) among patients with minimal to mild levels of depression compared to those with moderate or higher levels of depression. EP trial initiation was not associated with demographic or socioeconomic variables, cancer type, functional status, quality of life, or decision‐making variables. Conclusions The presence of elevated depressive symptoms may be associated with the EP trial recruitment and enrollment processes. This possible relationship warrants further study. Copyright © 2016 John Wiley & Sons, Ltd.