The end-of-life trajectory of cancer patients in palliative care (PC) elicits an anticipatory grief (AG) process in family caregivers (FCs). Although widely recognized, AG lacks conceptual clarification. This study aims to qualitatively explore the experience of FCs of patients with terminal cancer to identify the core characteristics and the specific adaptive challenges related to AG in the context of end-of-life caregiving. Data were collected through in-depth semi-structured interviews conducted in a clinical sample of 26 FCs of cancer patients in PC. Findings from thematic analysis suggest that the AG experience is characterized by traumatic distress from being exposed to life-threatening conditions and the separation distress induced by loss anticipation and current relational losses, challenging the FCs to long-term emotional regulation effort demands. These results contribute to the conceptualization of AG and may inform intervention programs for the main challenges the FCs face when adjusting to loss during end-of-life caregiving.