Despite improvements in therapy a large proportion of individuals with cancer will have a shortened life expectancy because of advanced or metastatic disease. Advances in therapy have however, extended life in those with advanced cancer thus heightening the importance of living well and preventing decline. The burdens of disease and cancer therapy impair aerobic fitness, strength, physical function and quality of life (QOL). Fatigue, the most common side effect of cancer and cancer therapy can further deteriorate QOL. Exercise has the potential to improve aerobic fitness, physical function, control fatigue and enhance QOL. However, exercise interventions are not routinely provided to those with advanced cancer. We present a systematic literature review of outcomes from interventions that include exercise for patients with advanced cancer. Studies were reviewed if they included an advanced cancer population and an intervention with a component of exercise. Overall, exercise containing interventions resulted in improvements in measures of aerobic capacity (14 of 19 studies) strength (11 of 12 studies), and components of physical function (9 of 9 studies). Fatigue and QOL were identified to improve in slightly over half of all evaluated studies (11 of 19 studies and 10 of 19 studies for fatigue and QOL respectively). The numbers of total participants reporting improvements in QOL (60%) were greater than fatigue (45%). Exercise provided to individuals with advanced cancer maintains or improves fitness and physical function and may diminish fatigue and enhance QOL and should be considered as an intervention to prevent further health complications.