Objective: Patients with advanced prostate cancer commonly experience psychological issues and have a low quality of life. This study aims to analyse the application of supportive psychotherapy combined with analgesic management on the pain and quality of life of patients with advanced prostate cancer. Methods: Patients with advanced prostate cancer admitted to our hospital from February 2018 to December 2022 were continuously selected as the research objects. In accordance with the different management methods recorded in the medical record system, the patients were divided into a control group (routine nursing + analgesic management) and an observation group (routine nursing + analgesic management + supportive psychotherapy). The Athens Insomnia Scale (AIS), State Anxiety Scale (S-AI), Trait Anxiety Scale (T-AI), Numeric Rating Scale (NRS) and 36-Item Short-Form Health Survey (SF-36) scores between the two groups were compared. Results: A total of 125 patients with advanced prostate cancer participated in this study, with 60 patients in the control group and 65 patients in the observation group. No significant difference was found in the scores of the AIS, S-AI, T-AI, NRS and SF-36 of the two groups before management (p > 0.05). After management, the AIS (4.00 vs. 5.00, p = 0.002), S-AI (38.88 vs. 41.12, p = 0.002), T-AI (39.17 vs. 41.65, p = 0.001) and NRS (3.00 vs. 3.00, p < 0.001) scores of the observation group were lower than those of the control group. However, the SF-36 scores of the observation group were higher than those of the control group in the dimensions of physiological enginery (75.85 vs. 68.75, p < 0.001), physiological function (71.85 vs. 67.75, p = 0.004), body pain (73.15 vs. 69.33, p = 0.006), social function (73.88 vs. 69.85, p = 0.004), emotional function (72.92 vs. 68.98, p = 0.006), mental health (73.52 vs. 69.83, p = 0.008), vitality (72.09 vs. 69.52, p = 0.044) and general health (70.65 vs. 66.23, p = 0.002). Conclusions: Supportive psychotherapy combined with analgesic management for patients with advanced prostate cancer may help improve the pain, anxiety and quality of sleep and life of patients.