Cancer cachexia, affecting 50–80% of patients and causing 20% of cancer deaths, leads to respiratory muscle atrophy and dysfunction that contributes to mortality, yet research on respiratory muscles in cachexia is scarce compared to limb muscle studies. Exercise may counteract cachexia through anti-inflammatory, antioxidant, and metabolic effects, but clinical evidence is limited and no exercise interventions have been recommended for cachexia patients. The review calls for more research on respiratory muscle wasting in cachexia and for exercise-focused preclinical and clinical studies to inform multimodal treatment strategies.