Delirium occurs in 50–80% of end-of-life patients but is often misdiagnosed. Identification of clinical factors potentially associated with delirium onset can lead to a correct early diagnosis. To this aim, we conducted a prospective cohort study on patients from an Italian palliative care unit (PCU) admitted in 2018–2019. We evaluated the presence of several clinical factors at patient admission and compared their presence in patients who developed delirium and in those who did not develop it during follow-up. Among 503 enrolled patients, after a median follow-up time of 16 days (interquartile range 6–40 days), 95 (18.9%) developed delirium. Hazard ratios (HR) and corresponding 95% confidence intervals were computed using Cox proportional hazard models. In univariate analyses, factors significantly more frequent in patients with delirium were care in hospice, compromised performance status, kidney disease, fever, renal failure, hypoxia, dehydration, drowsiness, poor well-being, breathlessness, and “around the clock” therapy with psychoactive drugs, particularly haloperidol. In multivariate analyses, setting of care (HR 2.28 for hospice versus home care, 95% CI 1.45–3.60; p < 0.001), presence of breathlessness (HR 1.71, 95% CI 1.03–2.83, p = 0.037), and administration of psychoactive drugs, particularly haloperidol (HR 2.17 for haloperidol, 95% CI 1.11–4.22 and 1.53 for other drugs, 95% CI 0.94–2.48; p = 0.048) were significantly associated with the risk of developing delirium. The study indicates that some clinical factors are associated with the probability of delirium onset. Their evaluation in PC patients could help healthcare professionals to identify the development of delirium in those patients in a timely manner.