Several approaches exist for handling missing covariates in the Cox proportional hazards model. The multiple imputation (MI) is relatively easy to implement with various software available and results in consistent estimates if the imputation model is correct. On the other hand, the fully augmented weighted estimators (FAWEs) recover a substantial proportion of the efficiency and have the doubly robust property. In this paper, we compare the FAWEs and the MI through a comprehensive simulation study. For the MI, we consider the multiple imputation by chained equation and focus on two imputation methods: Bayesian linear regression imputation and predictive mean matching. Simulation results show that the imputation methods can be rather sensitive to model misspecification and may have large bias when the censoring time depends on the missing covariates. In contrast, the FAWEs allow the censoring time to depend on the missing covariates and are remarkably robust as long as getting either the conditional expectations or the selection probability correct due to the doubly robust property. The comparison suggests that the FAWEs show the potential for being a competitive and attractive tool for tackling the analysis of survival data with missing covariates. Copyright © 2010 John Wiley & Sons, Ltd.