Cancer cachexia is a debilitating syndrome mainly characterized by muscle and fat wasting, leading to the progressive loss of body weight and complicating the management of cancer patient. In particular, the loss of muscle weight is a negative prognostic factor, being associated with chemotherapy toxicity and reduced survival. Increased inflammation and protein dysmetabolism are some of the impairments that lead to muscle wasting in cancer patients. Together with these alterations, tumor growth and chemotherapy administration may affect mitochondrial function, impinging on the muscle energy metabolism. Indeed, therapeutic approaches poised to correct both hypercatabolism and mitochondrial alterations could be effective in preventing cancer-induced muscle wasting. Among the non-pharmacological approaches, exercise training is one of the best modulator of muscle physiology able to impinge on both protein and energy metabolism. However, the wasting phenotype that characterizes cancer patients could be not compatible with physical training, prompting the development of different strategies to improve muscle metabolism. The aim of this mini-review is to discuss both the beneficial effects and the limitations of exercise training in cancer cachexia and the adoption of drugs able to modulate exercise-induced pathways.