Objective This study compared the cost‐effectiveness of a psychologist‐led, individualised cognitive behavioural intervention (PI) to a nurse‐led, minimal contact self‐management condition for highly distressed cancer patients and carers. Methods This was an economic evaluation conducted alongside a randomised trial of highly distressed adult cancer patients and carers calling cancer helplines. Services used by participants were measured using a resource use questionnaire, and quality‐adjusted life years were measured using the assessment of quality of life – eight‐dimension – instrument collected through a computer‐assisted telephone interview. The base case analysis stratified participants based on the baseline score on the Brief Symptom Inventory. Incremental cost‐effectiveness ratio confidence intervals were calculated with a nonparametric bootstrap to reflect sampling uncertainty. The results were subjected to sensitivity analysis by varying unit costs for resource use and the method for handling missing data. Results No significant differences were found in overall total costs or quality‐adjusted life years (QALYs) between intervention groups. Bootstrapped data suggest the PI had a higher probability of lower cost and greater QALYs for both carers and patients with high distress at baseline. For patients with low levels of distress at baseline, the PI had a higher probability of greater QALYs but at additional cost. Sensitivity analysis showed the results were robust. Conclusions The PI may be cost‐effective compared with the nurse‐led, minimal contact self‐management condition for highly distressed cancer patients and carers. More intensive psychological intervention for patients with greater levels of distress appears warranted. Copyright © 2015 John Wiley & Sons, Ltd. Copyright © 2015 John Wiley & Sons, Ltd.