The morbidity and the mortality of cachexia in cancer patients is high and it is difficult to reverse once entering the period of cachexia in clinical. There is no routine intervention for cachexia presently. Therefore it is suggested to pay attention to take a proactive approach in the early stage of the disease to maintain or slow down the loss of function. The benefits of exercise on health have become more and more clearly. Exercise can reduce the risk of malignant tumor reduce the risk of metastasis and recurrence improve the quality of life of cancer patients and possibly improve their survival outcomes. However the best evidence for the feasibility and effectiveness of exercise on muscle and / or weight recovery is mostly found in patients with non cachexia. There are few studies on the role of exercise in cancer cachexia and its role is still uncertain. The combination of exercise nutrition supplement and non-steroidal anti-inflammatory drugs is still the preferred treatment method for multimodal intervention but its benefits in preventing or reversing muscle and / or weight loss need to be further confirmed by more clinical and basic studies. For cachexia patients individualized exercise prescription should be made on the basis of full consideration of safety though the guidelines recommend that cancer patients should exercise. This paper will focus on the application of exercise in cancer cachexia combined with the latest progress of animal model research and clinical application study and explore the application and prospect of exercise therapy in cancer cachexia.