This study examined the relationship between caregivers' anxiety supporting a patient with advanced cancer and self-efficacy and their socio-demographic characteristics, and then whether these variables could influence their self-efficacy. One hundred and seven caregivers of advanced cancer patients participated in the study and completed the Greek versions of the State–Trait Anxiety Inventory (STAI) and the General Perceived Self-efficacy Scale (GSE). Significant comparisons were found between State anxiety and female gender (P= 0.009), cohabitation (P= 0.002) and relationship with the patient (P= 0.004); statistically significant associations were found between State, Trait anxiety and self-efficacy scores of caregivers (P < 0.0005 respectively). A multiple regression model (enter method) showed women (P= 0.005), spouses (P= 0.01) and self-efficacy (P= 0.02) as the significant predictors of State anxiety. Furthermore, self-efficacy seemed to be the strongest contributor of trait anxiety (P < 0.0005). Female caregivers and spouses of advanced cancer patients experience more state anxiety levels than men and other caregivers respectively. In addition, caregivers with low self-efficacy are more likely to have elevated anxiety scores than self-efficacious caregivers. These findings can help healthcare professionals focus on some problems common to caregivers of cancer patients and plan appropriate interventions.