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One of the most common adverse effects of cancer and its therapeutic strategies is sarcopenia, a condition which is characterised by excess muscle wasting and muscle strength loss due to the disrupted muscle homeostasis. Moreover, cancer-related sarcopenia may be combined with the increased deposition of fat mass, a syndrome called cancer-associated sarcopenic obesity. Both clinical conditions have significant clinical importance and can predict disease progression and survival. A growing body of evidence supports the claim that physical exercise is a safe and effective complementary therapy for oncology patients which can limit the cancer- and its treatment-related muscle catabolism and promote the maintenance of muscle mass. Moreover, even after the onset of sarcopenia, exercise interventions can counterbalance the muscle mass loss and improve the clinical appearance and quality of life of cancer patients. The aim of this narrative review was to describe the various pathophysiological mechanisms, such as protein synthesis, mitochondrial function, inflammatory response, and the hypothalamic–pituitary–adrenal axis, which are regulated by exercise and contribute to the management of sarcopenia and sarcopenic obesity. Moreover, myokines, factors produced by and released from exercising muscles, are being discussed as they appear to play an important role in mediating the beneficial effects of exercise against sarcopenia.