Multidisciplinary supportive care, integrating the dimensions of exercise alongside oncological treatments, is now regarded as a new paradigm to improve patient survival and quality of life. Its impact is important on the factors that control tumor development, such as the immune system, inflammation, tissue perfusion, hypoxia, insulin resistance, metabolism, glucocorticoid levels, and cachexia. An increasing amount of research has been published in the last years on the effects of physical activity within the framework of oncology, marking the appearance of a new medical field, commonly known as “exercise oncology”. This emerging research field is trying to determine the biological mechanisms by which, aerobic exercise affects the incidence of cancer, the progression and/or the appearance of metastases. We propose an overview of the current state of the art physical exercise interventions in the management of cancer patients, including a pragmatic perspective with tips for routine practice. We then develop the emerging mechanistic views about physical exercise and their potential clinical applications. Moving toward a more personalized, integrated, patient-centered, and multidisciplinary management, by trying to understand the different interactions between the cancer and the host, as well as the impact of the disease and the treatments on the different organs, this seems to be the most promising method to improve the care of cancer patients.