Context: Death anxiety is common in patients with metastatic cancer, but its relationship to brain metastases and cognitive decline is unknown. Early identification of death anxiety and its determinants allows proactive interventions to be offered to those in need. Objectives: To identify psychological, physical, and disease-related (including brain metastases and cognitive impairment) factors associated with death anxiety in metastatic non-small cell lung cancer (mNSCLC) patients. Methods: A cross-sectional pilot study with mNSCLC outpatients completing standardized neuropsychological tests and validated questionnaires measuring death anxiety, cognitive concerns, illness intrusiveness, depression, demoralization, self-esteem, and common cancer symptoms. We constructed a composite for objective cognitive function (mean neuropsychological tests z-scores). Results: Study measures were completed by 78 patients (50% females; median age 62 years [range 37–82]). Median time since mNSCLC diagnosis was 11 months (range 0–89); 53% had brain metastases. At least moderate death anxiety was reported by 43% (n = 33). Objective cognitive impairment was present in 41% (n = 32) and perceived cognitive impairment in 27% (n = 21). Death anxiety, objective, and perceived cognitive impairment did not significantly differ between patients with and without brain metastases. In univariate analysis, death anxiety was associated with demoralization, depression, self-esteem, illness intrusiveness, common physical cancer symptoms, and perceived cognitive impairment. In multivariate analysis, demoralization (P < 0.001) and illness intrusiveness (P = 0.001) were associated with death anxiety. Conclusion: Death anxiety and brain metastases are common in patients with mNSCLC but not necessarily linked. The association of death anxiety with both demoralization and illness intrusiveness highlights the importance of integrated psychological and symptom management. Further research is needed on the psychological impact of brain metastases.