Chronic inflammation and excessive loss of skeletal muscle usually occur during cancer cachexia, leading to functional impairment and delaying the cure of cancer. The release of cytokines by tumor promotes the formation of reactive oxygen species (ROS), which in turn regulate catabolic pathways involved in muscle atrophy. ROS also exert a dual role within tumor itself, as they can either promote proliferation and vascularization or induce senescence and apoptosis. Accordingly, previous studies that used antioxidants to modulate these ROS-dependent mechanisms, in cancer and cancer cachexia, have obtained contradictory results, hence the need to gather the main findings of these studies and draw global conclusions in order to stimulate more oriented research in this field. Based on the literature reviewed in this paper, it appears that antioxidant supplementation is (1) beneficial in cancer cachectic patients with antioxidant deficiencies, (2) most likely harmful in cancer patients with adequate antioxidant status (i.e., lung, gastrointestinal, head and neck, and esophageal), and (3) not recommended when undergoing radiotherapy. At the moment, measuring the blood levels of antioxidants may help to identify patients with systemic deficiencies. This approach is simple to realize but could not be a gold standard method for cachexia, as it does not necessarily reflect the redox state in other organs, like muscle.