Cancer has always a negative impact on nutritional status, weight loss being a common feature in patients with neoplastic diseases. If left untreated, weight loss may evolve into cancer cachexia, a complex syndrome characterized by marked depletion of body weight, associated with profound alterations of both nutritional status and metabolic homeostasis. Progressive wasting of skeletal muscle mass and adipose tissue is a typical feature of cancer cachexia. Cachexia has a large impact on morbidity and mortality, and significantly affects patients' response and tolerance to treatments and quality of life. On this line, understanding the pathogenic mechanisms of cachexia is of crucial importance to define targeted therapeutic strategies. Well structured, systematic and timely appropriate nutritional intervention in cancer patients is of pivotal importance. Indeed, it has been shown that malnutrition in cancer patients can be delayed when nutritional supplementation is adopted early in the course of the disease. The preservation of a good nutritional status, in particular when it is achieved concurrently with specific antineoplastic treatments, will prevent or at least delay the onset of overt cachexia, allowing the use of more aggressive therapeutic regimens. The inclusion of specific, metabolically active nutritional substrates, such as branched chain amino acids or eicosapentaenoic acid may be helpful in interfering with the mechanisms responsible for the metabolic alterations and the perturbations of molecular pathways ultimately leading to the clinical picture of cancer cachexia.