Objective To study the nutritional status of patients with advanced cancer and its correlation with anxiety and depression. Methods To screening the advanced cancer patients hospitalized in the oncology department of our hospital from January 2019 to January 2020, and investigate the nutritional risk screening 2002 (NRS 2002) score, body mass index (BMI), hematological indexes (total protein, albumin, hemoglobin). The hospital anxiety and Depression Scale (HADS) was used to evaluate the patients′ anxiety and depression, and to analyze the relationship between nutritional status and anxiety and depression in patients with advanced cancer. Results The incidence of malnutrition (BMI<18.5 kg/m2) was 22.39% (336/1501), and the incidence of nutritional risk (NRS 2002≥3) was 56.70% (851/1501).Patients with nutritional risk had lower total protein, albumin, hemoglobin and BMI. Compared with different kinds of cancer, patients with advanced gastrointestinal cancer had the highest proportion of malnutrition and nutritional risk.The positive rates of anxiety and depression were 78.61% (1180/1501) and 69.62% (1045/1501), respectively. NRS 2002 score was positively correlated with anxiety and depression (P<0.05); BMI was negatively correlated with anxiety and depression (P<0.05). Conclusion The higher the NRS 2002 score, the lower the BMI, and the more serious the degree of anxiety and depression.For advanced cancer patients with high nutritional risk and malnutrition, we should strengthen nutritional support and the intervention of anxiety and depression.