Cancer and its treatments affect cardiovascular (CV) health, including an increased risk of CV death, decreased cardiorespiratory fitness (CRF), and cardiac dysfunction. Moreover, cancer-related fatigue and worse quality of life (QoL) are highly prevalent adverse effects experienced by patients during treatment and can persist years after therapy ends. Physical exercise has been proposed as a strategy to improve different aspects of life of cancer patients, and is recommended as a therapy in cardio-oncology guidelines. Exercise interventions reduce fatigue and improve QoL in patients with both solid tumors and hematological malignancies, although there is a lack of awareness of exercise recommendations, timing, and referral to such programs. New evidence indicates that physical activities improve CRF, which can lead to a reduction in CV mortality. Furthermore, cardiac dysfunction is a side effect of many oncological treatments, which may be mitigated by exercise interventions according to preclinical studies and recent publications. Nevertheless, specific physical exercise programs are not widely used in cancer patients. Thus, the goal of this review was to describe the current evidence on the benefits of exercise in cancer patients, the gaps that remain, and an approach to exercise prescription.