A growing knowledge regarding the influence of exercise on adverse physiologic outcomes associated with cancer and its treatment exists. Aside from its effects on psychological behavior, quality of life, and cancer-related fatigue, physical exercise can target physical and cardiorespiratory fitness, insulin regulation and metabolic syndrome, body weight and composition, and immune function in tumor patients. The increasing number of study results for different cancer types, which prove the positive influences of physical activity in cancer patients, changed the contradictory opinions which existed until the end of the last century. Although an increasing number of studies showing the positive effects of physical activity and more specifically of endurance and resistance training in cancer patients have been published, the underlying mechanisms are mostly unknown. Thus, we summarized the current knowledge of the effects of physical activity and specific training in different tumor entities with specific respect to the possible underlying mechanisms. Especially, the association between physical activity and (1) the improvement of fatigue and the role of free radicals in this process, (2) the counterbalance of tumor-induced cachexia, (3) the improvement of the immune system for supportive tumor treatment, and (4) the possible role of epigenetic modulation against tumor and tumor treatment-dependent adverse physiologic outcomes is focused.