There is increasing evidence about the role of inflammation in sarcopenia and tumor progression; thus, its modulation would represent a valuable strategy for improving clinical outcomes in patients with cancer. Several studies have reported that whey protein has significant anti-inflammatory and antioxidant characteristics in humans. We aimed to evaluate the effects of whey protein-based oral nutritional support on circulating cytokines in patients with solid tumors undergoing systemic treatment. Forty-six patients with solid tumors of different origin and undergoing systemic treatment were evaluated. Nutritional support with two daily whey protein-based oral supplements was administered. Circulating levels of IL-6, IL-8, IL-10, MCP-1 and IP-10 were determined. Nutritional evaluation included anthropometric, instrumental and biochemical parameters. Over 63% of the evaluated patients underwent surgery, 56.5% required chemotherapy and almost 50% received combined treatment. Patients with resected primary tumor presented with lower baseline IL-6 (p < 0.05) and IP-10 (p < 0.001); after three months of nutritional support, they presented with lower IL-8 (p < 0.05) and tended to present lower IL-6 and IP-10 (p = 0.053 and 0.067, respectively). Significant positive correlations between circulating cytokines, C-reactive protein and ferritin were observed; similarly, negative correlations with anthropometric and biochemical nutritional parameters were noticed (p < 0.05). We did not observe significant changes in circulating cytokine levels (IL-6, IL-8, IL-10, MCP-1 and IP-10) in patients with cancer undergoing systemic treatment after three months of nutritional support with whey protein-based oral supplements. According to a univariate analysis in our cohort, circulating IL-8 was associated with mortality in these patients, additionally, MCP-1 and IP-10 tended to correlate; but an age- and sex-adjusted multivariate analysis revealed that only baseline MCP-1 was significantly associated with mortality (OR 1.03 (95% CI: 1.00–1.05)). In conclusion, surgery of the primary solid tumor and combination treatment allow significant reduction in circulating cytokine levels, which remained stable while patients received nutritional support with whey protein-based oral supplements over three months. The role of MCP-1 as an independent factor for mortality in these patients should be further evaluated.