Cachexia is a debilitating syndrome that complicates the management of cancer patients. Muscle wasting, one of the main features of cachexia, is associated with hyper-activation of protein degradative pathways and altered mitochondrial function that could both result from impaired redox homeostasis. This study aimed to investigate the contribution of oxidative stress to cancer-induced cachexia in the presence or in the absence of moderate exercise training. Mice bearing the colon C26 carcinoma, either sedentary or exercised, were used. The former showed muscle wasting and redox imbalance, with the activation of an antioxidant response and with upregulation of markers of proteasome-dependent protein degradation and autophagy. Moderate exercise was able to relieve muscle wasting and prevented the loss of muscle strength; such a pattern was associated with reduced levels of Reactive Oxygen Species (ROS), carbonylated proteins and markers of autophagy and with improved antioxidant capacity. The muscle of sedentary tumor hosts also showed increased levels of molecular markers of mitophagy and reduced mitochondrial mass. Conversely, exercise in the C26 hosts led to increased mitochondrial mass. In conclusion, moderate exercise could be an effective non-pharmacological approach to prevent muscle wasting in cancer patients, decreasing muscle protein catabolism and oxidative stress and preserving mitochondria.