Cancer-induced muscle wasting, i.e. cachexia, is associated with different types of cancer such as pancreatic, colorectal, lung, liver, gastric and esophageal. Cachexia affects prognosis and survival in cancer, and it is estimated that it will be the ultimate cause of death for up to 30% of cancer patients. Musculoskeletal alterations are known hallmarks of cancer cachexia, with skeletal muscle atrophy and weakness as the most studied. Recent evidence has shed light on the presence of bone loss in cachectic patients, even in the absence of bone-metastatic disease. In particular, we and others have shown that muscle and bone communicate by exchanging paracrine and endocrine factors, known as myokines and osteokines. This review will focus on describing the role of the most studied myokines, such as myostatin, irisin, the muscle metabolite β-aminoisobutyric acid, BAIBA, and IL-6, and osteokines, including TGF-β, osteocalcin, sclerostin, RANKL, PTHrP, FGF23, and the lipid mediator, PGE2 during cancer-induced cachexia. The interplay of muscle and bone factors, together with tumor-derived soluble factors, characterizes a complex clinical scenario in which musculoskeletal alterations are amongst the most debilitating features. Understanding and targeting the “secretome” of cachectic patients will likely represent a promising strategy to preserve bone and muscle during cancer cachexia thereby enhancing recovery.