Background: This meta-review aimed to synthesize the evidence of the effects of exercise on anxiety and depression symptoms amongst adults with cancer, and cancer-survivors, comparing effects sizes between meta-analysis. Methods: Major databases were searched up to February 9, 2024 for meta-analyses evaluating the effects of exercise, using anxiety and/or depression scales. Effect size (ES) values were calculated as standardized differences in the means and expressed as the Standardized Mean Difference (SMD) with the 95% confidence interval (95%CI). A total of eight unique meta-analyses were included. Results: Among meta-analyses examining both anxiety and depression symptoms overall, a small beneficial effect of exercise was shown [SMD = 0.41 (0.25-0.57); p < 0.0001]. Subgroup analyses revealed that exercise has a small effect on decreasing anxiety [SMD = 0.42 (0.04-0.79); p = 0.027], and depressive symptoms [SMD = 0.38 (0.21-0.56); p < 0.0001]. In addition, aerobic exercise has a moderate effect on reducing depressive symptoms [SMD = 0.54 (0.16-0.93); p = 0.005], whereas resistance exercise has no effect. Subgroup analyses by type of cancer observed a moderate effect on decreasing depressive symptoms in patients with breast cancer [SMD = 0.51 (0.27-0.74); p < 0.0001]. Conclusions: Exercise (specifically aerobic) should be considered by healthcare professionals as a strategy to treat/manage symptoms of anxiety and depression amongst adults with cancer and cancer-survivors.