Cachexia is a severe complication of cancer that adversely affects the course of the disease, with currently no effective treatments. It is characterized by a progressive atrophy of skeletal muscle and adipose tissue, resulting in weight loss, a reduced quality of life, and a shortened life expectancy. Although the cachectic condition primarily affects the skeletal muscle, a tissue that accounts for ~40% of total body weight, cachexia is considered a multi-organ disease that involves different tissues and organs, among which the cardiac muscle stands out for its relevance. Patients with cancer often experience severe cardiac abnormalities and manifest symptoms that are indicative of chronic heart failure, including fatigue, shortness of breath, and impaired exercise tolerance. Furthermore, cardiovascular complications are among the major causes of death in cancer patients who experienced cachexia. The lack of effective treatments for cancer cachexia underscores the need to improve our understanding of the underlying mechanisms. Increasing evidence links the wasting of the cardiac and skeletal muscles to metabolic alterations, primarily increased energy expenditure, and to increased proteolysis, ensuing from activation of the major proteolytic machineries of the cell, including ubiquitin-dependent proteolysis and autophagy. This review aims at providing an overview of the key mechanisms of cancer cachexia, with a major focus on those that are shared by the skeletal and cardiac muscles.