In the last decades, there has been a remarkable advance in the treatment of most types of cancer, improving the patient's prognosis. During cancer progression, tumor cells develop several biological changes to support initiation, proliferation, and resistance to death. Nearly 50-80% of all oncologic patients experience rapid weight loss that is related to ~20% of cancer-related deaths. Cancer cachexia is a syndrome characterized by loss of skeletal muscle mass, anorexia, and anemia. A lot of effort in scientific investigation has contributed to the understanding of cancer processes, in which epigenetic changes, as microRNAs, can influence cancer progression. Therefore, useful strategies to control the cancer-induced epigenetic changes in the tumor cells can have a key role in a clinical perspective to decrease the cancer development and aggressiveness. Physical activity has been proposed as a suitable tool to manage tumor growth and cachexia and to improve the deleterious sequelae experienced during cancer treatment. Although the molecular mechanisms involved in these responses are poorly understood, this chapter aims to discuss the role of microRNAs in the cancer-induced epigenetic changes and how physical activity could influence the epigenetic control of tumor cells and cachexia and their potential role in clinical applications for cancer.