In recent years, whey proteins (WP) have attracted increasing attention in health and disease for their bioactive functions. The aim of this study was to evaluate the benefit of WP isolate (WPI) supplementation in addition to nutritional counseling in malnourished advanced cancer patients undergoing chemotherapy (CT). In a single‐center, randomized, pragmatic, and parallel‐group controlled trial (http://www.ClinicalTrials.gov: NCT02065726), 166 malnourished advanced cancer patients with mixed tumor entities candidate to or undergoing CT were randomly assigned to receive nutritional counseling with (N = 82) or without (N = 84) WPI supplementation (20 g/d) for 3 months. The primary endpoint was the change in phase angle (PhA). Secondary endpoints included changes in standardized PhA (SPA), fat‐free mass index (FFMI), body weight, muscle strength, and CT toxicity (CTCAE 4.0 events). In patients with the primary endpoint assessed (modified intention‐to‐treat population), counseling plus WPI (N = 66) resulted in improved PhA compared to nutritional counseling alone (N = 69): mean difference, 0.48° (95% CI, 0.05 to 0.90) (P = .027). WPI supplementation also resulted in improved SPA (P = .021), FFMI (P = .041), body weight (P = .023), muscle strength (P < .001), and in a reduced risk of CT toxicity (risk difference, −9.8% [95% CI, −16.9 to −2.6]; P = .009), particularly of severe (grade ≥ 3) events (risk difference, −30.4% [95% CI, −44.4 to −16.5]; P = .001). In malnourished advanced cancer patients undergoing CT, receiving nutritional counseling, a 3‐month supplementation with WPI resulted in improved body composition, muscle strength, body weight, and reduced CT toxicity. Further trials, aimed at verifying the efficacy of this nutritional intervention on mid‐ and long‐term primary clinical endpoints in newly diagnosed specific cancer types, are warranted.