Cancer is often accompanied by worsening of the patient's iron profile, and the resulting anemia could be a factor that negatively impacts antineoplastic treatment efficacy and patient survival. The first line of therapy is usually based on oral or intravenous iron supplementation; however, many patients remain anemic and do not respond. The key might lie in the pathogenesis of the anemia itself. Cancer-related anemia (CRA) is characterized by a decreased circulating serum iron concentration and transferrin saturation despite ample iron stores, pointing to a more complex problem related to iron homeostatic regulation and additional factors such as chronic inflammatory status. This review explores our current understanding of iron homeostasis in cancer, shedding light on the modulatory role of hepcidin in intestinal iron absorption, iron recycling, mobilization from liver deposits, and inducible regulators by infections and inflammation. The underlying relationship between CRA and systemic low-grade inflammation will be discussed, and an integrated multitarget approach based on nutrition and exercise to improve iron utilization by reducing low-grade inflammation, modulating the immune response, and supporting antioxidant mechanisms will also be proposed. Indeed, a Mediterranean-based diet, nutritional supplements and exercise are suggested as potential individualized strategies and as a complementary approach to conventional CRA therapy.