Exercise tolerance reflects the integrative capacity of components in the oxygen cascade to supply adequate oxygen for ATP resynthesis. Conventional cancer therapies can simultaneously affect one or more components of this cascade and reduce the body's ability to deliver or utilise oxygen and substrate, leading to exercise intolerance. We propose that molecularly-targeted therapy is associated with a further, more subtle, negative effect on the components that regulate exercise limitation. We outline possible causes of exercise intolerance in patients with cancer and the role of exercise therapy to mitigate or prevent dysfunction. We also discuss possible implications for exercise-regulated gene expression for cancer biology and treatment efficacy. A better understanding of these issues might lead to more effective integration of exercise therapy to optimise the treatment and management of patients with cancer.