Cancer cachexia is a severe and disabling clinical condition that frequently accompanies the development of many types of cancer. Muscle wasting is the hallmark of cancer cachexia and is associated with serious clinical consequences such as physical impairment, poor quality of life, reduced tolerance to treatments and shorter survival. Cancer cachexia may evolve through different stages of clinical relevance, namely pre-cachexia, cachexia and refractory cachexia. Given its detrimental clinical consequences, it appears mandatory to prevent and/or delay the progression of cancer cachexia to its refractory stage by implementing the early recognition and treatment of the nutritional and metabolic alterations occurring during cancer. Research on the molecular mechanisms underlying muscle wasting during cancer cachexia has expanded in the last few years, allowing the identification of several potential therapeutic targets and the development of many promising drugs. Several of these agents have already reached the clinical evaluation, but it is becoming increasingly evident that a single therapy may not be completely successful in the treatment of cancer-related muscle wasting, given its multifactorial and complex pathogenesis. This suggests that early and structured multimodal interventions (including targeted nutritional supplementation, physical exercise and pharmacological interventions) are necessary to prevent and/or treat the devastating consequences of this cancer comorbidity, and future research should focus on this approach.