Cachexia is a wasting syndrome observed in many patients suffering from several chronic diseases including cancer. In addition to the progressive loss of skeletal muscle mass, cancer cachexia results in cardiac function impairment. During the severe stage of the disease, patients as well as animals bearing cancer cells display cardiac atrophy. Cardiac energy metabolism is also impeded with disruption of mitochondrial homeostasis and reduced oxidative capacity, although the available data remain equivocal. The release of inflammatory cytokines by tumor is a key mechanism in the initiation of heart failure. Oxidative stress, which results from the combination of chemotherapy, inadequate antioxidant consumption and chronic inflammation, will further foster heart failure. Protein catabolism is due to the concomitant activation of proteolytic systems and inhibition of protein synthesis, both processes being triggered by the deactivation of the Akt/mammalian target of rapamycin pathway. The reduction in oxidative capacity involves AMP-activated protein kinase and peroxisome proliferator-activated receptor gamma coactivator 1α dysregulation. The nuclear factor-κB transcription factor plays a prominent role in the coordination of these alterations. Physical exercise appears as an interesting non-pharmaceutical way to counteract cancer cachexia-induced-heart failure. Indeed, aerobic training has anti-inflammatory effects, increases anti-oxidant defenses, prevents atrophy and promotes oxidative metabolism. The present review points out the importance of better understanding the concurrent structural and metabolic changes within the myocardium during cancer and the protective effects of exercise against cardiac cachexia.