Cancer-related cachexia (CRC) is a multidimensional, frequent and devastating syndrome. It is mainly characterized by a loss of skeletal muscle tissue, accompanied or not by a loss of adipose tissue that leads to impaired functionality, poor quality of life, less tolerability to cancer-directed therapies, high levels of psychosocial distress, and shorter survival. Despite its clinical importance, there is a lack of effective pharmacological therapies to manage CRC. Pro-cachectic cytokines have been shown to play a critical role in its pathogenesis, providing the conceptual basis for testing anti-cytokine drugs to treat this paraneoplastic syndrome. The aim of this review was to examine the current evidence on anti-cytokines in the treatment of CRC. Several anti-cytokine agents targeting one or more molecules (i.e., TNF-alpha, IL-1 alpha, IL-6, and others) have been investigated in clinical trials for the treatment of CRC, mainly in phase I and II studies. Results have been mixed, and few drugs have demonstrated positive effects in larger phase III trials. Thalidomide, a derivative of glutamic acid with anti-inflammatory, immunomodulatory, and anti-angiogenic properties, and MABp1, a natural IgG1k human monoclonal antibody against IL-1 alpha, have shown the most prominent clinical benefits. Studies have recruited heterogeneous cancer patient populations in late disease stages, and many had issues with accrual and attrition. Anti-cytokines remain a promising treatment strategy in the treatment of CRC. Agents targeting multiple CRC cytokines and pathways, while also possessing anti-tumor effects, such as thalidomide and MABp1, have attained the most interesting outcomes, and warrant further investigation. Future studies including more homogenous populations, using valid and clinically meaningful outcome measures and testing low toxicity drugs in earlier stages of the cancer cachexia continuum might achieve better results.