Purpose: Breathlessness is a major cause of suffering in advanced cancer. We aimed to determine the symptom trajectory in people with advanced cancer and to identify those at increased risk of experiencing higher or increasing breathlessness over time in advanced cancer. Patients and methods: This was an analysis of the multinational, prospective, longitudinal European Palliative Care Cancer Symptom (EPCCS) study. We included adults with confirmed incurable cancer enrolled in palliative care, with prospective monthly assessments for up to 6 months, withdrawal or death, whichever came first. Symptom severity (0–10 numerical rating scales) was analyzed using multivariate random coefficients regression. Results: A total of 1689 patients (50 % women; mean age 65.7 ± [standard deviation; SD] 12.4 years) were included. Main diagnoses were digestive (31 %), lung (20 %), and breast (17 %) cancers. During a median follow-up of 62 (interquartile range, 0 to 133) days, 65 % were breathless at some point and 36 % of all patients reported moderate/severe breathlessness. The group mean (1.6 points; SD, 2.4) was unchanged over time, but the severity varied markedly between patients and over time. Independent predictors for worse breathlessness were COPD, lung cancer, living alone, lung metastases, anxiety, pain, depression, and lower performance status. Predictors of worsening breathlessness over time were low performance status (p = 0.039) and moderate to severe pain (p = 0.012). Conclusion: In the largest longitudinal clinical study to date in advanced cancer alone, breathlessness was frequent and associated with factors including respiratory disease, other concurrent unpleasant symptoms, and impaired performance status. Increase in severity over time was predicted by performance status and pain.