This review takes into account experimental and clinical evidence to provide an overview of the rationale for the use of exercise in cancer cachexia, its clinical application, and future developments. Studies targeting cachectic patients have demonstrated that even in advanced disease peripheral muscle has the capacity to respond to exercise training. Effects of exercise include enhancing muscle protein synthesis, attenuating the catabolic effects of cachexia, and modulating levels of inflammation. Nonetheless, there are challenges in applying therapeutic exercise, particularly once cachexia is established, and not all patients are able or willing to undertake programs currently being offered. Strategies to make exercise a more accessible therapy are required and could include offering it earlier in the course of the disease, at lower intensities, and in various forms, including novel approaches. In conclusion, the use of therapeutic exercise has a sound rationale, even in patients with advanced disease and cachexia, and has the potential to help maintain or slow the loss of physical function. Because of practical issues with its application, further study is required to examine if the benefits achieved in small studies can be translated to a wider clinical population.