Background/Objectives: Exercise is a supportive strategy for patients with cancer; however, evidence in individuals with established cancer cachexia remains limited. This study aimed to provide a preliminary description of feasibility and exploratory changes during a supervised exercise program in patients with cancer cachexia. Methods: Five women diagnosed with gastrointestinal or breast cancer and meeting the diagnostic criteria for cancer cachexia participated in a 12-week supervised exercise program, combining aerobic with resistance training, conducted twice weekly. Feasibility outcomes included completion, attendance, adherence, and adverse events. Muscle strength, flexibility, body composition, functional capacity, and patient-reported outcomes were assessed at baseline and post-intervention. Results: All participants completed the intervention and post-intervention assessments. Attendance ranged from 54% to 96%, with interruptions primarily related to treatment schedules and treatment-related side effects. No serious exercise-related adverse events occurred. Functional capacity improved in all participants (+ 33 to +73 m). Grip strength increased in all patients for the right hand (+0.5 to +5.5 kg) and in three patients for the left hand (+2.0 to +3.5 kg). Body composition responses were heterogeneous: fat-free mass increased in three patients (+1.3 to +2.8 kg), whereas two patients showed reductions. Fat mass decreased in three patients (−2.6 to −5.0 kg) and increased in two. Several domains of quality of life and symptom burden improved in most participants. Conclusions: In these five women with cancer cachexia, a supervised exercise program showed variable attendance and no serious exercise-related adverse events, whereas favorable changes for functional outcomes and heterogeneous response in body composition were observed.