Malnutrition and muscle wasting are frequently reported in cancer patients, either linked to the tumor itself or caused by oncologic therapies. Understanding the value of nutritional care during cancer treatment remains crucial. In fact, cancer-associated sarcopenia plays a key role in determining higher rates of morbidity, mortality, treatment-induced toxicities, prolonged hospitalizations and reduced adherence to anticancer treatment, worsening quality of life and survival. Planning baseline screening to intercept nutritional troubles earlier, organizing timely reassessments, and providing adequate counselling and dietary support, healthcare professional may positively interfere with this process and improve patients’ overall outcomes during the whole disease course. Several screening tools have been proposed for this purpose. Nutritional Risk Screening (NRS), Mini Nutritional Assessment (MNA), Patient Generated Subjective Global Assessment (PG-SGA) are the most common studied. Interestingly, second-level tools including skeletal muscle index (SMI) and bioelectric impedance analysis (BIA) provide a more precise assessment of body composition, even if they are more complex. However, nutritional assessment is not currently used in clinical practice and procedures must be standardized in order to improve the efficacy of standard chemotherapy, targeted agents or even checkpoint inhibitors that is potentially linked with the patients’ nutritional status. In the present review, we will discuss about malnutrition and the importance of an early nutritional assessment during chemotherapy and treatment with novel checkpoint inhibitors, in order to prevent treatment-induced toxicities and to improve survival outcomes.