Background/Objective: Cancer significantly impairs physical function and quality of life. Exercise has gained recognition as a therapeutic strategy; however, its long-term efficacy in terms of multidimensional outcomes in patients with cancer remains underexplored. This review aimed to evaluate and summarize the available evidence regarding the effects of multicomponent exercise programs on pain and psychosocial outcomes in individuals with cancer. Methods: A systematic review was conducted in accordance with PRISMA guidelines and registered in PROSPERO (CRD42022321183). Comprehensive searches were performed in MEDLINE, OVID, LILACS, Scopus, PEDro, OTseeker, The Cochrane Library, EBSCO, and Google Scholar, without date restrictions. Search terms included “exercise” and “cancer.” Only randomized controlled trials (RCTs) were included. Methodological quality and risk of bias were assessed using the PEDro scale. Results: Sixteen randomized controlled trials met the inclusion criteria. Multicomponent exercise programs combining aerobic, resistance, and flexibility training significantly improved muscle strength, balance, and quality of life. Several studies reported meaningful reductions in pain intensity and interference, whereas others found no significant changes. Overall, exercise interventions demonstrated superior effects compared with usual care or educational controls across physical and psychosocial outcomes. Conclusions: Multicomponent exercise is a safe and feasible intervention for adults with cancer, including those with advanced disease or complex clinical profiles. Evidence supports consistent benefits in physical function and quality of life, with partially consistent yet favorable effects on pain. Programs integrating multiple exercise modalities appear most effective and should be considered as part of comprehensive oncological care to enhance therapeutic outcomes and long-term well-being.