Advanced cancer, with its considerable physical symptoms and psychosocial burdens, represents an existential threat and major stressor to patients and their caregivers. In response to such stress, patients and their caregivers use a variety of strategies to manage the disease and related symptoms, such as problem-focused, emotion-focused, meaning-focused, and spiritual/religious coping. The use of such coping strategies is associated with multiple outcomes, including quality of life, symptoms of depression and anxiety, illness understanding, and end-of-life care. Accumulating data demonstrate that early palliative care, integrated with oncology care, not only improves these key outcomes but also enhances coping in patients with advanced cancer. In addition, trials of home-based palliative care interventions have shown promise for improving the ways that patients and family caregivers cope together and manage problems as a dyad. In this article, we describe the nature and correlates of coping in this population, highlight the role of palliative care to promote effective coping strategies in patients and caregivers, and review evidence supporting the beneficial effects of palliative care on patient coping as well as the mechanisms by which improved coping is associated with better outcomes. We conclude with a discussion of the limitations of the state of science, future directions, and best practices on the basis of available evidence.