Cancer-associated cachexia represents a multifactorial syndrome mainly characterized by muscle mass loss, which causes both a decrease in quality of life and anti-cancer therapy failure, among other consequences. The definition and diagnostic criteria of cachexia have changed and improved over time, including three different stages (pre-cachexia, cachexia, and refractory cachexia) and objective diagnostic markers. This metabolic wasting syndrome is characterized by a negative protein balance, and anti-cancer drugs like chemotherapy or immunotherapy exacerbate it through relatively unknown mechanisms. Due to its complexity, cachexia management involves a multidisciplinary strategy including not only nutritional and pharmacological interventions. Physical exercise has been proposed as a strategy to counteract the effects of cachexia on skeletal muscle, as it influences the mechanisms involved in the disease such as protein turnover, inflammation, oxidative stress, and mitochondrial dysfunction. This review will summarize the experimental and clinical evidence of the impact of physical exercise on cancer-associated cachexia.