As cancer progresses, patients may experience physical decline, which can impair their ability to carry out essential daily tasks. The aim of this study was to analyze the levels of physical activity in patients with advanced cancer undergoing systemic treatment and its relationship with sociodemographic, clinical, and psychological factors. A prospective, cross-sectional, multicenter study was carried out in 15 oncology departments in Spain. Patients with locally advanced, unresectable, or metastatic cancer who were candidates for systemic treatment were included. Participants completed demographic information and psychological scales. In total, 508 patients were included in the study, the majority of whom were male, over the age of 65, and diagnosed with bronchopulmonary tumors (36%) and metastatic disease. Based on their physical activity levels, participants were categorized as sedentary (20%, n = 190), engaging in light physical activity (43%, n = 412), or demonstrating moderate physical activity (37%, n = 351). Patients who were over 65 years old; had a worse baseline status (ECOG ≥ 1); lacked a partner; had a lower educational level; or were retired or unemployed were found to have lower levels of physical activity. Those with sedentary physical activity reported higher levels of psychological distress, anxiety, depression, somatization, and physical symptoms, as well as worse functional status, global health status, and well-being. Understanding the complex interplay between physical activity and sociodemographic, clinical, and psychological factors can help neuroscientists develop tailored exercise interventions that address the unique needs of advanced cancer patients.