Objective: The aim of this study was to examine how the burden of caregivers of patients with an advanced oncological illness mediates the relationship between positive aspects of care, depression and anxiety. Methods: Quantitative study with a cross‐sectional design. One hundred informal adult caregivers of patients with advanced oncological illness who attended the pain and palliative care unit or the psychological unit at the Instituto de Cancerologia Clinica las Americas (Medellin, Colombia) completed self‐report assessments including positive aspects of care (PAC), burden and anxiety/depression measured using the HADS (Hospitalized Anxiety Depression Scale). The partial least squares Structural Equation Modelling (PLS‐SEM) approach was selected to validate the hypotheses of the study. Results: Most of the participants were women (86%), with a mean age of 46.52 years (SD=15.05). Most of the participants reported experiencing both PAC and anxiety. They also scored low for burden. PAC exerted a negative effect on Burden, whereas Burden contributed positively to Anxiety and Depression. The indirect impact of PAC on Anxiety and Depression was significant p < .00. Conclusions: Positive aspects of care in advanced cancer caregivers constitutes a protective factor against caregiver's burden, depression and anxiety. Health staff can promote caregivers' adaptation and wellbeing emphasizing these PAC.