Objective: Even when medical treatments are limited, supporting patients’ coping strategies could improve their quality of life. Greater understanding of patients’ coping strategies, and influencing factors, can aid developing such support. We examined the prevalence of coping strategies and associated variables. Methods: We used sociodemographic and baseline data from the ACTION trial, including measures of Denial, Acceptance, and Problem-focused coping (COPE; Brief COPE inventory), of patients with advanced cancer from six European countries. Clinicians provided clinical information. Linear mixed models with clustering at hospital level were used. Results: Data from 675 patients with stage III/IV lung (342, 51%) or stage IV colorectal (333, 49%) cancer were used; mean age 66 (10 SD) years. Overall, patients scored low on Denial and high on Acceptance and Problem-focused coping. Older age was associated with higher scores on Denial than younger age (β = 0.05; CI[0.023; 0.074]), and patients from Italy (β = 1.57 CI[0.760; 2.388]) and Denmark (β = 1.82 CI[0.881; 2.750]) scored higher on Denial than patients in other countries. Conclusions: Patients with advanced cancer predominantly used Acceptance and Problem-focused coping, and Denial to a lesser extent. Since the studied coping strategies of patients with advanced cancer vary between subpopulations, we recommend taking these factors into account when developing tailored interventions to support patients’ coping strategies.