Financial difficulties experienced by cancer patients negatively impact the mental health of the patients. The objective of this study was to examine the mediating role of financial difficulties between physical symptoms and depression in patients with advanced cancer. A prospective, cross-sectional design was adopted in the study. The data were collected from 861 participants with advanced cancer in 15 different tertiary hospitals in Spain. The participants’ socio-demographic characteristics were collected using a standardized self-report form. Hierarchical linear regression models were used to explore the mediating role of financial difficulties. In the results, 24% of patients reported a high level of financial difficulties. Physical symptoms were positively associated with financial difficulties and depression (β = 0.46 and β = 0.43, respectively), and financial difficulties was positively associated with depression (β = 0.26). Additionally, financial difficulties played a role in explaining the relationship between physical symptoms and depression, showing a standardized regression coefficient of 0.43 which decreased to 0.39 after the financial difficulties were controlled. Healthcare professionals should consider the importance of providing financial resources and emotional support to help patients and their families cope with the financial burden associated with cancer treatment and its symptoms.