Cachexia is a complex metabolic syndrome associated with many chronic or end-stage diseases, especially cancer, and is characterized by loss of muscle with or without loss of fat mass. The management of cancer-related anorexia/cachexia syndrome (CACS) is a complex challenge that should address the different causes underlying this clinical event with an integrated or multimodal treatment approach targeting the different factors involved in its pathophysiology. Among the treatments proposed in the literature for CACS, some proved to be ineffective, namely, cyproheptadine, hydrazine, metoclopramide, and pentoxifylline. Among effective treatments, progestagens are currently considered the best available treatment option for cancer-related cachexia, and they are the only drugs approved in Europe. Drugs with a strong rationale that have failed or have not shown univocal results in clinical trials so far include eicosapentaenoic acid, cannabinoids, bortezomib, and anti-TNF-α MoAb. Several emerging drugs have shown promising results but are still under clinical investigation (thalidomide, selective cyclooxygenase-2 (COX-2) inhibitors, ghrelin mimetics, insulin, oxandrolone, and olanzapine). However, to date, despite several years of co-ordinated efforts in basic and clinical research, practice guidelines for the prevention and treatment of cancer-related muscle wasting are lacking, mainly because of the multifactorial pathogenesis of the syndrome. From all the data presented, one can speculate that one single therapy may not be completely successful in the treatment of cachexia. A more effective approach might be a combination therapy targeting the different mechanisms contributing to CACS.