Palliative care patients have been associated with a high probability of having depression and spiritual distress. However, there is a gap in research about the clinical indicators that can promote an effective differential diagnosis of depression and spiritual distress. This study aimed to identify the prevalence and the clinical indicators of depression and spiritual distress in palliative patients in primary care. An observational and cross-sectional study was conducted in 2016 in a Portuguese primary care unit. From a General Practitioners patients’ file of 1457 adult patients, a sample of 30 palliative patients was recruited throughout two steps: (1) selection of patients with chronic disease criteria; (2) selection of patients with Prognostic Indicator Guidance criteria. Exclusion criteria included cognitive impairment and psychotic disorders. Participants completed the self-assessment Hospital Anxiety and Depression Scale (HADS) and Functional Assessment of Chronic Illness Therapy—Spiritual Well-Being Scale (FACIT-Sp12) scales, which were sealed in opaque envelopes. Clinical data collection used semi-structured interviews for the diagnosis of depression and spiritual distress. The prevalence of depression was 23% (n = 7), while the prevalence of spiritual distress was 23% (n = 7). Four patients (13%) fulfilled both the depression and the spiritual distress criteria. Depression and spiritual distress seem to be both linked to the spiritual dimensions of the human being, but seem to differ in the dimensions of suffering and pharmacologic treatment.