Cancer cachexia is a multifactorial metabolic syndrome characterized by significant reduction in body weight resulting from loss of adipose tissue and skeletal muscle. It impacts upon the therapeutic effects, quality of life and survival of cancer patients. The management of cachexia remains a big challenge for now. This paper introduces the cause of cachexia, and discusses the role of exercise in the prevention of cancer cachexia. Recent studies have reported that exercise can improve cancer cachexia symptoms through inhibiting inflammation and oxidative stress, stimulating protein synthesis, and ameliorating lipid metabolism. These mechanisms provide information for strategy for treatment of patients with cancer cachexia, encouraging them to participate in exercise, and also provide a basis for future research of clinical study.