Objective Studies regarding natural caregivers' burden (CB) in palliative situations, as well as its determinants and consequences, have been numerous during the last 20 years. Yet, studies regarding how terminally ill cancer patients perceive their CB (self‐perceived burden, SPB) are less common. This study aims to assess the links between CB and SPB evaluated by means of the very same items. It also aims at identifying the determinants of potential differences between CB and SPB and their consequences on emotional distress among both members of the dyad. Methods Sixty cancer patients from a palliative care unit and their principal natural caregiver completed questionnaires concerning the subjective burden of the caregiver, their own personal emotional distress and that of the other member of the dyad. Results Globally, patients had a good perception of their CB, although a little overestimated, except for their difficulties in managing their time. Caregivers overestimated patients' distress. The minimisation by patients of CB was a source of emotional distress for the latter, and the perception of being a burden to others was a source of depression for patients. These results did not depend on the nature of the relationship between patients and their caregivers. Conclusions This data confirmed the need to study the experiences of the patient–caregiver dyad as well as their communication of their respective experiences, with a prospect to offer clinical interventions to optimise the quality of life and health of patients and their close relatives.Copyright © 2015 John Wiley & Sons, Ltd.