Cancer cachexia has two main components: anorexia and metabolic alterations. The main changes associated with the development of this multi-organic syndrome are glucose intolerance, fat depletion and muscle protein hypercatabolism. The aim of this paper is to review the more recent therapeutic approaches designed to counteract the wasting suffered by the cancer patient with cachexia. Among the most promising approaches we can include the use of ghrelin agonists, beta-blockers, beta-adrenergic agonists, androgen receptor agonists and anti-myostatin peptides. The multi-targeted approach seems essential in these treatments, which should include the combination of both nutritional support, drugs and a suitable program of physical exercise, in order to ameliorate both anorexia and the metabolic changes associated with cachexia. In addition, another very important and crucial aspect to be taken into consideration in the design of clinical trials for the treatment of cancer cachexia is to staging cancer patients in relation with the degree of cachexia, in order to start as early as possible this triple approach in the course of the disease, even before the weight loss can be detected.