Previous systematic reviews have concluded that physical activity improves supportive care outcomes in cancer patients, but the conclusions are based largely upon data from patients with early-stage cancer. The aim of this study was to systematically review the best available evidence of physical activity as a supportive care intervention in palliative cancer patients. All published studies examining the effect of physical activity interventions on quality of life, fatigue, and physical function outcomes in palliative cancer patients aged 18 years or older were included. Six studies were identified, with significant heterogeneity in terms of study design, participant characteristics, type of physical activity intervention, and outcomes. Although they generally reported positive preliminary findings, the overall methodologic quality of the studies was poor. There is insufficient evidence to evaluate the efficacy of physical activity as a supportive care intervention in palliative cancer patients; methodologically, rigorous studies with larger samples and appropriate comparison groups are warranted.