Dyspnea is a common symptom in palliative care. Despite this, there is uncertainty regarding the role of oxygen to treat the symptom in patients with advanced illness. This randomized, double-blind, crossover trial examined the effect of oxygen versus air on the relief of dyspnea in patients with advanced cancer. Following the blinded administration of air and oxygen via nasal prongs, 51 patients rated dyspnea and indicated preferences for the blinded treatments. On average, patients improved symptomatically with both air and oxygen, and there were no significant differences between the treatments. The subgroup of 17 hypoxic patients overall did not demonstrate a significant difference between air and oxygen, despite having improved oxygen saturations when administered oxygen. Hypoxia was corrected in 13 of 17 patients using the treatment dose of 4 L/min of oxygen. The experience of dyspnea is a complex, multifactorial phenomenon, with oxygen tension not correlating with the subjective experience. The administration of either air or oxygen via nasal prongs on average confers improvement of the symptom.