One of the common traits found in cancer patients is malnutrition and cachexia, which affects between 25% to 60% of the patients, depending on the type of cancer, diagnosis, and treatment. Given the lack of current effective pharmacological solutions for low muscle mass and sarcopenia, holistic interventions are essential to patient care, as well as exercise and nutrition. Thus, the present narrative review aimed to analyze the nutritional, pharmacological, ergonutritional, and physical exercise strategies in cancer-related cachexia. The integration of multidisciplinary interventions could help to improve the final intervention in patients, improving their prognosis, quality of life, and life expectancy. To reach these aims, an extensive narrative review was conducted. The databases used were MedLine (PubMed), Cochrane (Wiley), Embase, PsychINFO, and CinAhl. Cancer-related cachexia is a complex multifactorial phenomenon in which systemic inflammation plays a key role in the development and maintenance of the symptomatology. Pharmacological interventions seem to produce a positive effect on inflammatory state and cachexia. Nutritional interventions are focused on a high-energy diet with high-density foods and the supplementation with antioxidants, while physical activity is focused on strength-based training. The implementation of multidisciplinary non-pharmacological interventions in cancer-related cachexia could be an important tool to improve traditional treatments and improve patients’ quality of life.