Cachexia is a metabolic syndrome consisting of massive loss of muscle mass and function that has a severe impact on the quality of life and survival of cancer patients. Up to 20% of lung cancer patients and up to 80% of pancreatic cancer patients are diagnosed with cachexia, leading to death in 20% of them. The main drivers of cachexia are cytokines such as interleukin-6 (IL-6), tumor necrosis factor-alpha (TNF-α), macrophage inhibitory cytokine 1 (MIC-1/GDF15) and transforming growth factor-beta (TGF-β). Besides its double-edged role as a tumor suppressor and activator, TGF-β causes muscle loss through myostatin-based signaling, involved in the reduction in protein synthesis and enhanced protein degradation. Additionally, TGF-β induces inhibin and activin, causing weight loss and muscle depletion, while MIC-1/GDF15, a member of the TGF-β superfamily, leads to anorexia and so, indirectly, to muscle wasting, acting on the hypothalamus center. Against this background, the blockade of TGF-β is tested as a potential mechanism to revert cachexia, and antibodies against TGF-β reduced weight and muscle loss in murine models of pancreatic cancer. This article reviews the role of the TGF-β pathway and to a minor extent of other molecules including microRNA in cancer onset and progression with a special focus on their involvement in cachexia, to enlighten whether TGF-β and such other players could be potential targets for therapy.