Cachexia is a prevalent muscle wasting syndrome among people with advanced cancer that profoundly impacts patient quality of life (QoL) and physical function. Exercise can improve QoL, physical function, and overall health in people with cancer and may be an important addition to treatment approaches for cancer cachexia. Greater understanding of patients’ perception of exercise can help elucidate the feasibility of implementing exercise interventions for cancer cachexia and facilitate the design of patient-centered interventions. We aimed to describe the perception of exercise in patients with advanced cancer and cachexia, and capture exercise motivators, barriers, and preferences, to inform the feasibility of exercise interventions. Individual interviews (n = 20) with patients with locally advanced or metastatic cancer with cachexia were conducted and analyzed using reflexive thematic analysis. Main themes from interviews were: 1) Life is disrupted by cancer and cachexia; 2) Exercise offers hope; 3) Exercise barriers are multifaceted; and 4) Exercise access and support are important. Participants reported that their cancer and cachexia had intensely altered their lives, including ability to exercise. Exercise was perceived as important and participants described a hope for exercise to improve their health and wellbeing. Yet, several complex exercise barriers, such as burdensome cancer symptoms and the overwhelming impact of the COVID-19 pandemic, hindered exercise participation and prevented participants from fully realizing the perceived benefits of exercise. Factors believed to improve exercise engagement and overcome exercise barriers included increased exercise support (e.g., professional supervision) and accessibility (e.g., convenient locations). Patient-reported exercise barriers and preferences can inform the design of exercise interventions, particularly within future research studies aiming to establish exercise feasibility and efficacy in people with advanced cancer and cachexia.