Survival prediction is integral to oncology and palliative care, yet robust prognostic models remain elusive. We assessed the feasibility of combining actigraphy, sleep diary data, and routine clinical parameters to prognosticate. Fifty adult outpatients with advanced cancer and estimated prognosis of <1 year were recruited. Patients were required to wear an Actiwatch® (wrist actigraph) for 8 days, and complete a sleep diary. Univariate and regularised multivariate regression methods were used to identify predictors from 66 variables and construct predictive models of survival. A total of 49 patients completed the study, and 34 patients died within 1 year. Forty-two patients had disrupted rest-activity rhythms (dichotomy index (I < O ≤ 97.5%) but I < O did not have prognostic value in univariate analyses. The Lasso regularised derived algorithm was optimal and able to differentiate participants with shorter/longer survival (log rank p < 0.0001). Predictors associated with increased survival time were: time of awakening sleep efficiency, subjective sleep quality, clinician’s estimate of survival and global health status score, and haemoglobin. A shorter survival time was associated with self-reported sleep disturbance, neutrophil count, serum urea, creatinine, and C-reactive protein. Applying machine learning to actigraphy and sleep data combined with routine clinical data is a promising approach for the development of prognostic tools.