ABSTRACT Introduction: Physical exercise has been considered an important non-pharmacological treatment for reducing tiredness, pain, low self-esteem and increases in body mass in individuals diagnosed with cancer. Objective: To verify the relationship between fatigue, quality of life and levels of physical activity in cancer patients undergoing chemotherapy. Methods: Observational, cross-sectional study. The sample consisted of 85 adult patients undergoing cancer treatment at a university hospital. Physical activity was assessed by the IPAQ, and fatigue and quality of life by the PFS and EORTC QLQ-C30 questionnaires, respectively. Student's t and the Fisher's Exact tests were used to identify differences between active and physically inactive patients for the variables fatigue and quality. Additionally, covariance analysis (ANCOVA) was used, in which simple (outcome and exposure) and adjusted models (age, time of diagnosis and type of cancer) were tested. Results: The study included 85 cancer patients, with a mean of 51.78 years of age (±11.72). Most were female and not physically active. Patients classified as physically inactive had higher scores for “total fatigue” (p=0.01), “behavioral” (p=0.01), “affective” (p=0.02) and psychological/sensory fatigue (p=0.04), compared to the physically active patients (p=0.01). Patients classified as physically not very active presented poorer quality of life in the dimensions: “overall” quality of life (p=0.05) and “functional” (p=0.04), “appetite” (p=0.02), “insomnia” (p=0.0 2), “diarrhea” (p=0.04), “fatigue” (p=0.01), “pain” (p=0.01) and “nausea” (p=0.03), when compared to the physically active patients in both analyses; simple and adjusted. Conclusion: The practice of physical activity during treatment can be a determining factor for increasing quality of life and reducing fatigue in cancer patients, minimizing the adverse effects of chemotherapy. Level of evidence II; retrospective study.