Cancer cachexia syndrome (CCS) is a multifactorial metabolic syndrome affecting a significant proportion of patients. CCS is characterized by progressive weight loss, alterations of body composition and a systemic inflammatory status, which exerts a major impact on the host’s innate and adaptive immunity. Over the last few years, the development of immune checkpoint inhibitors (ICIs) transformed the treatment landscape for a wide spectrum of malignancies, creating an unprecedented opportunity for long term remissions in a significant subset of patients. Early clinical data indicate that CCS adversely impairs treatment outcomes of patients receiving ICIs. We herein reviewed existing evidence on the potential links between the mechanisms that promote the catabolic state in CCS and those that impair the antitumor immune response. We show that the biological mediators and processes leading to the development of CCS may also participate in the modulation and the sustainment of an immune suppressive tumor microenvironment and impaired anti-tumor immunity. Moreover, we demonstrate that the deregulation of the host’s metabolic homeostasis in cancer cachexia is associated with resistance to ICIs. Further research on the interrelation between cancer cachexia and anti-tumor immunity is required for the effective management of resistance to immunotherapy in this specific but large subgroup of ICI treated individuals.