Aim Exercise training has been suggested as a non‐pharmacological approach to prevent skeletal muscle wasting and improve muscle function in cancer cachexia. However, little is known about the molecular mechanisms underlying such beneficial effect. In this study, we aimed to, firstly, examine the contribution of TWEAK signalling to cancer‐induced skeletal muscle wasting and, secondly, evaluate whether long‐term exercise alters TWEAK signalling and prevents muscle wasting. Methods Female Sprague‐Dawley rats were randomly assigned to control and exercise groups. Fifteen animals from each group were exposed to N‐Methyl‐N‐nitrosourea carcinogen. Animals in exercise groups were submitted to moderate treadmill exercise for 35 weeks. After the experimental period, animals were killed and gastrocnemius muscles were harvested for morphological and biochemical analysis. Results We verified that exercise training prevented tumour‐induced TWEAK/NF‐κB signalling in skeletal muscle with a beneficial impact in fibre cross‐sectional area and metabolism. Indeed, 35 weeks of exercise training promoted the upregulation of PGC‐1α and oxidative phosphorylation complexes. This exercise‐induced muscle remodelling in tumour‐bearing animals was associated with less malignant mammary lesions. Conclusion Data support the benefits of an active lifestyle for the prevention of muscle wasting secondary to breast cancer, highlighting TWEAK/NF‐ κB signalling as a potential therapeutic target for the preservation of muscle mass.