Exercise therapy is a common supportive strategy in curative cancer treatment with strong evidence regarding its positive effects on, for example, cancer-related fatigue, health- related quality of life, and physical function. In the field of advanced cancer patients, knowledge about exercise as a useful supportive strategy is missing. The aim of this systematic review was to evaluate the feasibility and safety of exercise interventions as well as its effects on lowering the symptom burden. We included randomized controlled trials and nonrandomized controlled trials with advanced cancer patients receiving any type of exercise intervention. After an extensive literature search (in accordance to PRIMSA guidelines) in PubMed, Cochrane Library, and SPORTDiscus, 14 studies including 940 participants with different cancer entities were eligible. The results indicated the safety of exercise. In total, 493 participants received exercise interventions, with nine adverse events and no severe adverse events. The median recruitment rate was 68.33%, and adherence to exercise intervention was 86%. Further research with a high-quality and larger sample size is needed to clarify the potential of exercise with advanced cancer patients. Different advanced cancer entities have distinguished symptoms, and future research should construct entities-specific trial populations to figure out the best supportive exercise interventions.