Cancer and cardiovascular diseases are globally the leading causes of mortality and morbidity. These conditions are closely related, beyond that of sharing many risk factors. The term bidirectional relationship indicates that cardiovascular diseases increase the likelihood of getting cancer and vice versa. The biological and biochemical pathways underlying this close relationship will be analyzed. In this new overlapping scenario, physical activity and exercise are proven protective behaviors against both cardiovascular diseases and cancer. Many observational studies link an increase in physical activity to a reduction in either the development or progression of cancer, as well as to a reduction in risk in cardiovascular diseases, a non-negligible cause of death for long-term cancer survivors. Exercise is an effective tool for improving cardio-respiratory fitness, quality of life, psychological wellbeing, reducing fatigue, anxiety and depression. Finally, it can counteract the toxic effects of cancer therapy. The protection obtained from physical activity and exercise will be discussed in the various stages of the cancer continuum, from diagnosis, to adjuvant therapy, and from the metastatic phase to long-term effects. Particular attention will be paid to the shelter against chemotherapy, radiotherapy, cardiovascular risk factors or new onset cardiovascular diseases. Cardio-Oncology Rehabilitation is an exercise-based multi-component intervention, starting from the model of Cardiac Rehabilitation, with few modifications, to improve care and the prognosis of a patient’s cancer. The network of professionals dedicated to Cardiac Rehabilitation is a ready-to-use resource, for implementing Cardio-Oncology Rehabilitation.