Background: Cancer can affect many dimensions of a patient’s life, and in turn, it should be targeted using a multimodal approach. We tested the extent to which an interdisciplinary nutrition–rehabilitation program can improve the well-being of patients with advanced cancer. Methods: Between January 10, 2007, and September 29, 2010, 188 patients with advanced cancer enrolled in the 10–12-week program. Body weight, physical function, symptom severity, fatigue dimensions, distress level, coping ability, and overall quality of life were assessed at the start and end of the program. Results: Of the enrolled patients, 70% completed the program. Patients experienced strong improvements in the physical and activity dimensions of fatigue (effect sizes: 0.8–1.1). They also experienced moderate reductions in the severity of weakness, depression, nervousness, shortness of breath, and distress (effect sizes: 0.5–0.7), and moderate improvements in Six Minute Walk Test distance, maximal gait speed, coping ability, and quality of life (effect sizes: 0.5–0.7) Furthermore, 77% of patients either maintained or increased their body weight. Conclusions: Interdisciplinary nutrition–rehabilitation can be advantageous for patients with advanced cancer and should be considered an integrated part of standard palliative care.