Background: As the survival rate of cancer patients increases, the clinical importance of rehabilitation provided by healthcare professionals also increases. However, the evidence supporting the relevance of rehabilitation programs is insufficient. This study aimed to review the literature on effectiveness in physical function, quality of life (QOL) or fatigue of supervised physical rehabilitation in patients with advanced cancer. Methods: A systematic review and meta-analysis was conducted following the Cochrane guidelines. We narratively described the results when meta-analysis was not applicable or appropriate. Literature databases including Ovid-MEDLINE, Ovid-EMBASE, and the Cochrane Library, as well as several Korean domestic databases, were searched up to June 2017 for studies that investigated the effectiveness of supervised physical rehabilitation programs on physical function, QOL or fatigue in patients with advanced cancer. The quality of the selected studies was evaluated independently by paired reviewers. Results: Eleven studies with 922 participants were finally selected among 2,459 articles. The meta-analysis revealed that after physical exercise, the physical activity level and strength of patients with advanced cancer increased significantly. The QOL showed a statistically significant improvement after physical rehabilitation according to the European Organization for Research and Treatment of Cancer version C30. Though some of measurements about cardiovascular endurance or strength in several studies were not able to be synthesized, each study reported that they were significantly improved after receiving rehabilitation. Conclusion Supervised physical rehabilitation for patients with advanced cancer is effective in improving physical activity, strength, and QOL. However, more trials are needed to prove the effectiveness of supervised exercise and to strengthen the evidence.