Objectives Patients with advanced cancer frequently suffer a decline in activities associated with involuntary loss of weight and muscle mass (cachexia). This can profoundly affect function and quality of life. Although exercise participation can maintain physical and psychological function in patients with cancer, uptake is low in cachectic patients who are underrepresented in exercise studies. To understand how such patients' experiences are associated with exercise participation, we investigated exercise history, self‐confidence, and exercise motivations in patients with established cancer cachexia, and relationships between relevant variables. Methods Lung and gastrointestinal cancer outpatients with established cancer cachexia (n = 196) completed a questionnaire exploring exercise history and key constructs of the Theory of Planned Behaviour relating to perceived control, psychological adjustment, and motivational attitudes. Results Patients reported low physical activity levels, and few undertook regular structured exercise. Exercise self‐efficacy was very low with concerns it could worsen symptoms and cause harm. Patients showed poor perceived control and a strong need for approval but received little advice from health care professionals. Preferences were for low intensity activities, on their own, in the home setting. Regression analysis revealed no significant factors related to the independent variables. Conclusions Frequently employed higher intensity, group exercise models do not address the motivational and behavioural concerns of cachectic cancer patients in this study. Developing exercise interventions which match perceived abilities and skills is required to address challenges of self‐efficacy and perceived control identified. Greater engagement of health professionals with this group is required to explore potential benefits of exercise.