Introduction: Cancer diagnosis is a highly stressful event, frequently associated with significant psychological distress, particularly anxiety and depression, representing a major public health concern. This rapid review aimed to synthesize the psychological consequences experienced by adults recently diagnosed with cancer and to identify factors associated with increased or reduced distress. Methods: Following WHO guidance for rapid reviews, selected databases were searched using predefined eligibility criteria, resulting in the inclusion of four cross-sectional studies comprising 8,743 patients from diverse countries and clinical settings. Results: Findings revealed high prevalence rates of anxiety (up to 57.1%) and depression (up to 60.2%), with greater vulnerability among patients with poor social support, low performance status, severe pain, multiple physical symptoms, inpatient care, palliative care, and chemotherapy. Protective factors included higher functional status and better quality of life. Gender differences were observed, with women reporting greater emotional distress. Overall, evidence indicates that anxiety and depression are distinct yet correlated dimensions of psychological distress. Conclusions: The review concludes that early identification and targeted psycho-oncological interventions are essential to mitigate suffering and enhance quality of life from the moment of diagnosis.