The prognostic role of body composition indexes, and specifically sarcopenia, has recently been explored in different cancer types. However, conflicting results have been reported. Heterogeneity in cancer type, cancer stage or oncological treatments, as well as different methodology and definition of sarcopenia, could be accounted for different conclusions retrieved from literature. When focusing on colorectal cancer, it clearly appears that colon and rectal cancers are often treated as a single entity though they have different behaviors and treatments. Particularly, patients with advanced rectal cancer represent a peculiar group of patients that according to current guidelines are treated with neoadjuvant chemotherapy and radiotherapy followed by radical surgery. This review was restricted to a homogeneous group of patients with advanced lower rectal cancer and the aim of exploring whether there is a correlation between skeletal muscle depletion and prognosis. Literature was searched for articles related to patients with advanced rectal cancer undergoing neoadjuvant chemo-radiotherapy (NCRT) followed by radical surgery, in whom muscle mass and/or change in muscle mass during neoadjuvant treatment were measured. Eight full-text articles were selected and included in the present review. The main findings of our review were: (1) The majority of the studies defined sarcopenia as muscle mass alone over muscle strength or physical performance; (2) There was a great deal of heterogeneity in the definition and measures of sarcopenia, in the definition of cut-off values, and in the method to measure change in muscle mass; (3) There was not full agreement on the association between sarcopenia at baseline and/or after chemo-radiotherapy and prognosis, and only few studies found a significance in the multivariate analysis; and (4) It seems that a loss in skeletal muscle mass during NCRT is associated with the worst outcomes in terms of disease-free survival. In conclusion, analysis of muscle mass might provide prognostic information on patients with rectal cancer, however more robust evidence is needed to define the role of muscle depletion and/or muscle change during neoadjuvant treatments, related to this specific group of patients. If a prognostic role would be confirmed by future studies, the role of preoperative intervention aimed at modifying muscle mass could be explored in order to improve outcomes.