Objectives: To explore the effect of breakthrough cancer pain (BTcP) treatment on quality of sleep and other aspects of the health-related quality of life (HRQoL) in patients with cancer pain. Methods: In an observational, multicenter, cohort study, cancer patients from palliative care units, oncology departments, and pain clinics and affected by BTcP were included. Enrolled patients were assessed at the four visits: T0 (baseline), T7, T14, and T28. Stable chronic background pain (numeric rating scale, NRS ≤ 4) during the whole study period was mandatory. BTcP was treated through transmucosal fentanyl. Three questionnaires were used to measure the HRQoL: EORTC QLQ-C15-PAL, Pittsburgh Sleep Quality Index (PSQI), and the Edmonton Symptom Assessment System (ESAS). Results: In 154 patients, the HRQoL showed a significant improvement for all physical and emotional characteristics in the EORTC QLQ-C15-PAL, except for nausea and vomiting (linear p-value = 0.1) and dyspnea (Linear p-value = 0.05). The ESAS and PSQI questionnaires confirmed these positive results (p < 0.0001 and p = 0.002, respectively). Conclusions: This prospective investigation by an Italian expert group, has confirmed that careful management of BTcP induces a paramount improvement on the HRQoL. Because in cancer patients there is a high prevalence of BTcP and this severe acute pain has deleterious consequences, this information can have an important clinical significance.