Cancer-related anemia (CRA) is a common sign occurring in more than 30% of cancer patients at diagnosis before the initiation of antineoplastic therapy. CRA has a relevant influence on survival, disease progression, treatment efficacy, and the patients’ quality of life. It is more often detected in patients with advanced stage disease, where it represents a specific symptom of the neoplastic disease, as a consequence of chronic inflammation. In fact, CRA is characterized by biological and hematologic features that resemble those described in anemia associated to chronic inflammatory disease. Proinflammatory cytokine, mainly IL-6, which are released by both tumor and immune cells, play a pivotal action in CRA etiopathogenesis: they promote alterations in erythroid progenitor proliferation, erythropoietin (EPO) production, survival of circulating erythrocytes, iron balance, redox status, and energy metabolism, all of which can lead to anemia. The discovery of hepcidin allowed a greater knowledge of the relationships between immune cells, iron metabolism, and anemia in chronic inflammatory diseases. Additionally, chronic inflammation influences a compromised nutritional status, which in turn might induce or contribute to CRA. In the present review we examine the multifactorial pathogenesis of CRA discussing the main and novel mechanisms by which immune, nutritional, and metabolic components affect its onset and severity. Moreover, we analyze the status of the art and the perspective for the treatment of CRA. Notably, despite the high incidence and clinical relevance of CRA, controlled clinical studies testing the most appropriate treatment for CRA are scarce, and its management in clinical practice remains challenging. The present review may be useful to indicate the development of an effective approach based on a detailed assessment of all factors potentially involved in the pathogenesis of CRA. This mechanism-based approach is essential for clinicians to plan a safe, targeted, and successful therapy, thereby promoting a relevant amelioration of patients’ quality of life.