Introduction: Cancer and its treatments deteriorate quality of life. However, it is now well established that physical exercise—especially when supervised—can make a significant difference. It improves overall health, alleviates symptoms such as fatigue and anxiety, and helps restore physical capacities and key metabolic responses. Objectives: To examine the scientific evidence on the benefits of supervised exercise in the rehabilitation of cancer patients, aiming to identify best practices and intervention strategies that optimize overall health outcomes. Methods: A systematic search was conducted in PubMed, Web of Science, Cochrane Library, and Scopus using specific search terms and inclusion criteria for studies published between 2013 and 2024. A total of 1,169 records were identified (PubMed = 677, Scopus = 79, Web of Science = 287, Cochrane Library = 126). After removing duplicates (n = 587) and ineligible records (n = 181), 348 studies were reviewed, and 768 were excluded. Finally, 19 randomized controlled trials were included, comprising 2,117 participants with an average age of 44.41 years. Results: Supervised physical exercise significantly improved strength, body composition, fatigue, quality of life, emotional well-being, and cardiorespiratory fitness in cancer patients. It also reduced lymphedema and inflammation, with high adherence to exercise programs (>85%), establishing it as a safe and effective strategy in oncological rehabilitation. Conclusion: Physical exercise enhances both physical and mental health in cancer patients by increasing muscular strength and quality of life while reducing fatigue and depression. It also promotes bone and metabolic health, reinforcing the importance of integrating exercise into cancer treatment and recovery programs.