Cancer cachexia is a multifactorial syndrome characterized by anorexia, body wasting, and muscle and adipose tissue loss, impairing patient's tolerance to anticancer treatments and survival. The aim of the present study was to compare the effects induced in mice by tumor growth alone (C26) or in combination with chemotherapy [C26 oxaliplatin and 5‐fluorouracil (oxfu)] and to evaluate the potential of moderate exercise. Oxfu administration to C26 mice exacerbated muscle wasting and triggered autophagy or mitophagy, decreased protein synthesis, and induced mitochondrial alterations. Exercise in C26 oxfu mice counteracted the loss of muscle mass and strength, partially rescuing autophagy and mitochondrial function. Nevertheless, exercise worsened survival in C26 oxfu mice in late stages of cachexia. In summary, chemotherapy further impinges on cancer‐induced alterations, worsening muscle wasting. An ideal multifactorial and early intervention to prevent cancer cachexia could take advantage of exercise, improving patient's energy metabolism, mobility, and quality of life.—Ballarò, R., Beltrà, M., De Lucia, S., Pin, F., Ranjbar, K., Hulmi, J. J., Costelli, P., Penna, F. Moderate exercise in mice improves cancer plus chemotherapy‐induced muscle wasting and mitochondrial alterations. FASEB J. 33, 5482–5494 (2019). http://www.fasebj.org