Cancer ranks among the five leading causes of death in almost all countries and has important repercussions for individual and public health, the healthcare system and society in general. Obesity increases the incidence of many types of cancer, but growing evidence suggests that physical activity may decrease risk for developing a variety of obesity-related cancer types, and in some cases also, improve cancer prognosis and mortality rates. This review summarizes recent evidence on the effect of physical activity on obesity-related cancer prevention and survival. For some cancers, including breast, colorectal, and endometrial cancer, there is strong evidence for a preventative effect of exercise, but for many others, including gallbladder and kidney cancer, and multiple myeloma, evidence is inconsistent or largely lacking. Though many potential mechanisms have been proposed to explain the onco-protective effect of exercise, including improved insulin sensitivity, alterations in sex hormone availability, improved immune function and inflammation, myokine secretion, and modulation of intracellular signaling at the level of AMP kinase, the exact mechanism(s) of action within each cancer subtype remains poorly defined. Overall, a deeper understanding of how exercise can help against cancer and of the exercise parameters that can be tweaked to optimize exercise prescription is necessary and should be the subject of future investigation.