The use of chemotherapy in the treatment of cancer, although increasingly efficacious for improving survival, produces short- and long-term negative physiological side effects. Sleep disturbance, fatigue, and depressed mood are common and distressing problems that occur during and after chemotherapy. Furthermore, after chemotherapy, cancer patients tend to experience decreased cardiorespiratory fitness and muscle strength. These changes lead to a decrease in physical function and quality of life (QoL). Physical exercise has been shown to improve physical function and QoL in cancer patients during and after chemotherapy. Physical exercise may also alleviate symptoms that interfere with physical fatigue, mental fatigue, treatment-related fatigue, muscle pain, arthralgia, and other pain, depression, anxiety, and insomnia. Furthermore, physical exercise prolongs survival and reduces the mortality of these patients. Based on previous scientific reports, this chapter introduces the role of physical exercise in the care of cancer patients treated with chemotherapy.