Context Information regarding sleep disturbances in the population with advanced cancer is meager. Objectives To assess the prevalence of sleep disturbances and possible correlations with associated factors in a large number of patients with advanced cancer admitted to different palliative care settings. Methods This was an observational study performed in different settings of palliative care. A consecutive sample of patients with advanced cancer was prospectively assessed for a period of six months. Epidemiological and clinical data, treatments received in the last month, Karnofsky status, Edmonton Symptom Assessment System scores, and concomitant medical treatment were recorded. Patients were administered the Athens Insomnia Scale and the Hospital Anxiety and Depression Scale (HADS). Results A total of 820 patients were surveyed. Mean age was 69.7 years (SD 12.7), and 429 patients were males. Consistent sleep disturbances (moderate to maximum) were found in 60.8% of patients. Aged patients were less likely to have sleep disturbances, whereas a poor Karnofsky level was significantly associated with sleep problems. Breast, gastrointestinal, head and neck, lung, and prostate cancers were associated with sleep problems. Patients who had a secondary school or undergraduate education had less sleep disturbances. Hormone therapy and use of opioids and corticosteroids were positively associated with sleep disturbances, and there was a positive correlation of HADS-Anxiety and HADS-Depression scores with sleep disturbances. Conclusion More than 60% of palliative care patients have relevant sleep disturbances. Several factors associated with sleep disorders have been identified and should prompt physicians to make a careful examination and subsequent treatment of these disturbances.