Cancer treatment and its side effects may cause muscle wasting. Physical exercise has the potential to increase muscle mass and strength and to improve physical function in cancer patients undergoing treatment. A systematic review was conducted to study the effect of physical exercise (aerobic, resistance or a combination of both) on muscle mass and strength in cancer patients with different type and stage of cancer disease. Electronic searches were performed up to January 11th 2012, identifying 16 randomised controlled trials for final data synthesis. The studies demonstrated that aerobic and resistance exercise improves upper and lower body muscle strength more than usual care. Few studies have assessed the effect of exercise on muscle mass. Most studies were performed in patients with early stage breast or prostate cancer. Evidence on the effect of physical exercise on muscle strength and mass in cancer patients with advanced disease is lacking. More exercise studies in patients with advanced cancer and at risk of cancer cachexia are warranted.