Background As the burden of cancer in Saudi Arabia has increased, the number of terminally ill patients is growing. In parallel, family caregivers' burden has emerged as an escalating problem within the field of palliative medicine. In this study, we aimed to explore the prevalence and types of burden experienced by caregivers of terminally ill patients and the associated risk factors. Methodology A cross-sectional study was conducted from March 2019 to February 2020 at Najran University Hospital in southern Saudi Arabia. The study included all caregivers of terminal Saudi patients receiving palliative care. A three-part study questionnaire was used for data collection: socio-demographic characteristics, the Arabic version of Zarit Burden Interview to quantify the caregivers' burden, and the Caregiver Distress Scale to identify and rank the different types of burden among caregivers Results The study included 78 caregivers of terminally ill cancer patients. Their ages ranged between 19 and 70 years, with an arithmetic mean of 39.5 years and a standard deviation of 12.9 years. The caregiver burden was reported among the majority of the participants (96.2%); the burden was mild among 46.2%, moderate among 38.5%, and severe among 11.5% of the participants. The age of caregivers who expressed moderate-to-severe burden was significantly higher than those who expressed little-to-moderate burden (44.5 ± 13.7 versus 34.5 ± 9.8 years, respectively; p < 0.001). Moderate-to-severe burden was more observed among mothers/brothers [12 (80%)] than sons [21 (53.8%)] and daughters [six (25.0%)] (p = 0.003). Regarding caregiver distress, caregivers with shorter caregiving (≤three months) and mother/brother relation to the patient had significantly higher relationship distress scores (p < 0.001). In addition, relation to the patient was significantly associated with emotional burden score (p <0.001), social impact score (p < 0.007), and personal cost score (p < 0.001). Conclusion Caregiving to terminally ill cancer patients is a considerably hidden problem leading to caregiver's burden and stress.