(1) Background: Chemotherapy-induced peripheral neuropathy (CIPN) decreases the quality of life of patients and can lead to a dose reduction and/or the interruption of chemotherapy treatment, limiting its effectiveness. Potential pathophysiological mechanisms involved in the pathogenesis of CIPN include chronic oxidative stress and subsequent increase in free radicals and proinflammatory cytokines. Approaches for the treatment of CIPN are highly limited in their number and efficacy, although several antioxidant-based therapies have been tried. On the other hand, ozone therapy can induce an adaptive antioxidant and anti-inflammatory response, which could be potentially useful in the management of CIPN. (2) Methods: The aims of this works are: (a) to summarize the potential mechanisms that could induce CIPN by the most relevant drugs (platinum, taxanes, vinca alkaloids, and bortezomib), with particular focus on the role of oxidative stress; (b) to summarize the current situation of prophylactic and treatment approaches; (c) to describe the action mechanisms of ozone therapy to modify oxidative stress and inflammation with its potential repercussions for CIPN; (d) to describe related experimental and clinical reports with ozone therapy in chemo-induced neurologic symptoms and CIPN; and (e) to show the main details about an ongoing focused clinical trial. (3) Results: A wide background relating to the mechanisms of action and a small number of experimental and clinical reports suggest that ozone therapy could be useful to prevent or improve CIPN. (4) Conclusions: Currently, there are no clinically relevant approaches for the prevention and treatment of stablished CIPN. The potential role of ozone therapy in this syndrome merits further research. Randomized controlled trials are ongoing.