The increase in life expectancy and survival time implies an increase in the possible side-effects of pharmacological treatments in patients. Cancer-related fatigue is one of these side-effects. The main objective of this study was to evaluate the effects of a multimodal program of physical exercise and functional rehabilitation on asthenia, pain, functional capacity, and quality of life in cancer patients with cancer-related fatigue. Methods: This was a randomized, parallel-controlled clinical trial, with two arms (experimental and control group), and it was conducted over the course of a year in the Oncology Hospitalization Unit at the University Hospital of Salamanca, Spain. Participants (n = 48) were assessed at three points during the study. The first assessment was prior to hospital discharge, the second assessment was after 15 days, and the final assessment was at one month post-hospital follow-up. The intervention lasted one month. The main variables studied were the dependency levels (Barthel), cancer-related fatigue (FACT-An), health-related quality of life (EuroQoL-5D), functional capacity (SPPB), and kinesiophobia (TSK-F). Results: Sample size (n = 44). Mean age 63.46 ± 12.36 years. Significant differences between control and experimental group participants in Barthel, FACT-An, TSK-F, and SPPB scores at follow-up and final assessment. Conclusions: There are beneficial effects of a multimodal physical exercise and functional rehabilitation program in improving the autonomy of cancer-related fatigue patients.