Interest in dietary supplements and their efficacy in treating and preventing disease has increased greatly since the outbreak of the COVID-19 pandemic. Due to the risk of severe COVID-19 in patients with cancer, we conducted a narrative review aiming to better understand the data on the safety of the most efficacious “anti-COVID-19” nutraceuticals for patients with cancer. We conducted a PubMed database search aimed at identifying the most effective nutrients for use against COVID-19. For the identified nutraceuticals, we searched PubMed again regarding their safety for patients with cancer. Fifty-four total records (52 independent studies) were retrieved, pertaining to vitamin D, vitamin C, selenium, omega-3 fatty acids, and zinc. Vitamin D results from 23 articles indicated safe use, but two articles indicated potential harm. All 14 articles for vitamin C and five out of six articles for selenium indicated the safety of use (one study for selenium suggested harm with high-dose supplementation). Results for omega-3 fatty acids (seven articles) and zinc (one article), however, were rather mixed regarding safety. We conclude that vitamin D, vitamin C, and selenium supplements are likely safe or even beneficial at typically recommended doses; however, caution is urged with omega-3 fatty acid supplements, and zinc supplements should likely be avoided. More experimental research is needed, and nutraceutical use by patients with cancer should always be under the supervision of a healthcare team.