Background and Objectives: The prevalence of cachexia has increased across all of the cancer types and accounts for up to 20% of cancer-related deaths. This paper is a systematic review of nutritional interventions aiming to improve cachexia outcomes in cancer, focusing on weight gain. Materials and Methods: A search in Medline and Elsevier databases for articles up until the 23 January 2022, was conducted. Results: Out of 5732 screened records, 26 publications were included in the final analysis. Four randomized clinical trials showed a significant body weight (BW) increase in patients treated with eicosapentaenoic acid (EPA), β-hydroxy-beta-methyl butyrate (β-HMB), arginine, and glutamine or marine phospholipids (MPL). An upward BW trend was observed in patients treated with L-carnitine, an Ethanwell/Ethanzyme (EE) regimen enriched with ω-3 fatty acids, micronutrients, probiotics, fish oil, a leucine-rich supplement, or total parental nutrition (TPN) with a high dose of a branched-chain amino acid (BCAA). Conclusions: Although clinical trials relating to large numbers of nutritional supplements present promising data, many trials provided negative results. Further studies investigating the underlying mechanisms of action of these nutritional supplements in cancer cachexia are needed. Early screening for cancer cachexia risk and nutritional intervention in cancer patients before aggravating weight loss may stabilize their weight, preventing cachexia syndrome. According to the GRADE methodology, no positive recommendation for these nutritional supplements may be expressed.