Health professionals predict that the number of people who will suffer and die from oncological diseases will continue to increase. It is vitally important to provide comprehensive care to these patients and prescribe physical exercise programs as adjuvant therapy. The objective of this systematic review was to determine the impact of physical exercise on advanced-stage cancer patients. A literature search was performed in eight different databases. This search focused on randomized controlled trials (RCTs) published during the last 10years. To assess the methodological quality of the sample of 15 RCTs finally obtained, the PEDro scale was used. Aerobic and strength training methods were used. The combination of both aerobic and strength training methods was the most frequently reported. Likewise, different physical and psychological variables were recorded, from which improvements were seen in fatigue, independence, quality of life and sleep, among others. The participation in physical exercise programs by advanced-stage cancer patients has a positive impact on health. Providing these programs serves as adjuvant therapy, facilitating the comprehensive care of patients. Similarly, aerobic, strength or mixed training programs increase the muscle mass of patients and therefore reduce hypotonia, the main side effect during the advanced-stages of cancer.