Background: to evaluate the safety and efficacy of a physical activity program (PAP) in children and adolescents with cancer. Methods: children and adolescents with cancer were randomly assigned in a 1:1 ratio to the six-month PAP (intervention group) or to the control group. The first evaluation was performed at the end of the PAP (T0 + 6 mo). At T0 + 6 mo, both groups received the six-month PAP with a second evaluation at T0 + 12 mo. The primary outcome was the evolution of exercise capacity measured using the six-minute walk test (6 MWT) at T0 + 6 mo. Secondary outcomes included PAP safety and changes in other physical functions, self-esteem, and quality-of-life parameters. Results: The trial involved 80 children and adolescents (age range 5.0–18.4 years), of whom 41 were assigned to the interventional group and 39 to the control group. Underlying malignancies were leukemia (39%) and a broad range of solid tumors (61%). No adverse events occurred. At T0 + 6 mo, the evolution of the 6 MWT distance (±SEM) was improved in the intervention group vs. the control group (86 ± 12 m vs. 32 ± 6 m, p < 0.001). Several other physical parameters were significantly improved in the intervention group. Global self-esteem and parent-reported quality-of-life were significantly increased in the intervention group. Analysis at T0 + 12 mo showed persistence of the benefits in the intervention group on exercise capacity evolution (115 ± 18 m vs. 49 ± 11 m, p = 0.004) and on most physical and QoL parameters. Conclusion: In children and adolescents with cancer, a physical activity program is safe, improves exercise capacity, and may have physical and psychological benefits.