Purpose: Caregiver, relational, and patient factors have been associated with the health of family members and friends providing care to patients with early-stage cancer. Little research has examined whether findings extend to family caregivers of patients with incurable cancer, who experience unique and substantial caregiving burdens. We examined correlates of mental and physical health among caregivers of patients with newly-diagnosed incurable lung or non-colorectal gastrointestinal cancer. Methods: At baseline for a trial of early palliative care, caregivers of participating patients (N = 275) reported their mental and physical health (Medical Outcome Survey-Short Form-36); patients reported their quality of life (Functional Assessment of Cancer Therapy-General). Analyses used hierarchical linear regression with two-tailed significance tests. Results: Caregivers’ mental health was worse than the U.S. national population (M = 44.31, p < .001), yet their physical health was better (M = 56.20, p < .001). Hierarchical regression analyses testing caregiver, relational, and patient factors simultaneously revealed that younger (B = 0.31, p = .001), spousal caregivers (B = −8.70, p = .003), who cared for patients reporting low emotional well-being (B = 0.51, p = .01) reported worse mental health; older (B = −0.17, p = .01) caregivers with low educational attainment (B = 4.36, p < .001) who cared for patients reporting low social well-being (B = 0.35, p = .05) reported worse physical health. Conclusions: In this large sample of family caregivers of patients with incurable cancer, caregiver demographics, relational factors, and patient-specific factors were all related to caregiver mental health, while caregiver demographics were primarily associated with caregiver physical health. These findings help identify characteristics of family caregivers at highest risk of poor mental and physical health who may benefit from greater supportive care.