The management of cancer patients is frequently complicated by the occurrence of cachexia, a complex syndrome characterized by marked depletion of body weight, associated with profound alterations of both nutritional status and metabolic homeostasis. Progressive wasting of skeletal muscle mass and adipose tissue is a typical feature of cancer cachexia. This syndrome has a large impact on morbidity and mortality, and significantly affects patients quality of life. On this line, understanding the pathogenic mechanisms of cachexia is of crucial importance to define targeted therapeutic strategies. Many studies have addressed the relevance of nutritional interventions in cancer hosts. In particular, it has been shown that malnutrition in cancer patients can be delayed when nutritional supplementation is adopted early in the course of the disease. The preservation of a good nutritional status, in particular when it is achieved concurrently with specific antineoplastic treatment, will prevent or at least delay the onset of overt cachexia, allowing the use of more aggressive therapeutic regimens. This paper will review the relevant literature, focusing on those options that have shown more promising for the clinical practice.