Children with cancer are at high risk for developing short-term and long-term nutritional problems related to their underlying disease and side effects of multimodal treatments. Nutritional status (NS) can influence several clinical outcomes, such as overall survival (OS) and event-free survival (EFS), treatment tolerance, risk of developing infections and quality of life (QoL). However, the importance of nutrition in children with cancer is still underestimated. This review focuses on alterations of NS that occurs in children during cancer treatment. In particular, we reviewed the pathogenesis of undernutrition in oncological children, as well as how NS affects treatment tolerance and response, the immune system and the risk of infections of children with cancer. Thanks to recent advances in all types of supportive therapy and to the progress of knowledge on this topic, it has been realized that NS is a modifiable prognostic factor that can be intervened upon to improve the outcome of these patients. Currently, there is a lack of a systematic approach and standard recommendations for nutritional care in the pediatric cancer population. Literature analysis showed that it is essential to define the NS and treat any alterations in a timely manner ensuring proper growth and development. Nutritional follow-up should become an integral part of the care pathway. Regular nutritional monitoring should be performed at diagnosis, during treatment and during follow-up. A close collaboration and sharing of expertise between pediatric oncologists and nutrition specialists, combined with careful and participatory sharing of the feeding experience with the family and the child (after age 6 years), is strongly required.