Background This study was carried out to investigate the prognostic value of baseline and dynamic changes in anxious emotion in advanced cancer patients undergoing palliative care. Methods The association between anxious emotion and survival was investigated in a retrospective sample of 377 consecutive advanced cancer patients receiving palliative care from August 2013 to October 2015 and in an extended follow‐up study of 106 of those patients. Results The prevalence of anxious emotion was 24.93% (94/377) overall, 22.48% (47/209) in men and 27.97% (47/168) in women. Significant associations between baseline anxious emotion and overall survival (OS) were not found in the whole sample or in women. However, univariate and multivariate analyses showed that anxious emotion was an independent prognostic indicator of OS in men (hazard ratio [HR]: 1.811, P = .003). Moreover, findings showed that newly developed anxious emotion was significantly associated with poor OS in all readmitted patients (HR: 5.568, P < .001), in men (HR: 5.104, P = .006) and women (HR: 5.820, P = .004). Conclusions Our study suggests that anxious emotion, especially dynamic changes in anxious emotion, needs to be monitored in advanced cancer patients; whether targeted interventions would prolong survival requires further studies.