Patients with advanced cancer report physical, emotional, social and existential problems that may be due to the cancer itself or its treatment. Previous studies have demonstrated the benefit of early inclusion of palliative care (PC) in combination with standard oncologic care in reducing depressive symptoms, improving quality of life, increasing survival and also decreasing unnecessary invasive procedures. However, patients continue to arrive late at PC, even in large comprehensive cancer centers. One of the barriers is the stigma of PC perceived by patients and health professionals as "a place to die." The primaries objectives are to evaluate the feasibility and satisfaction of patients with advanced cancer submitted to a brief psychosocial intervention based on Cognitive Behavioral Therapy (CBT) in addition to early PC and to evaluate the impact of these interventions on the reduction of depressive symptoms. A randomized, open-label, phase II trial, with two intervention arms and a control group. It will be included 150 patients with advanced cancer initiating palliative chemotherapy who meet the selection criteria. Participants will be recruited from the outpatient oncology clinics from the Barretos Cancer Hospital and will be randomized in one of the three treatment arms: arm A, five weekly sessions of brief psychosocial interventions based on CBT in combination with early PC; arm B, early PC only; arm C, standard oncologic care. The Hospital Anxiety and Depression Scale (HADS), Patient Health Questionnaire-9 (PHQ-9), Brazilian version of the Edmonton Symptom Assessment System (ESAS-br), European Organization for Research and Treatment of Cancer Quality of Life Questionnaire Core 15 PAL (EORTC QLQ-C15-Pal), 13-item measure of patient satisfaction (FAMCARE-P13), and the Disease Understanding Protocol, will be the instruments used for data collection. Patients will answer these instruments at baseline and after 45, 90, 120, and 180 days after randomization. An interim analysis is planned to occur after the inclusion of 20 participants with complete data in each arm; if the Cohen's effect size between the arms A and B is small (d<<0.2), the study will continue only with arms B and C.