The occurrence of cachexia of multifactorial etiology in chronic heart failure (CHF) is a common and underestimated condition that usually leads to poor outcome and low survival rates, with high direct and indirect costs for the Health Care System. Recently, a consensus definition on cachexia has been reached, leading to a growing interest by the scientific community in this condition, which characterizes the last phase of many chronic diseases (i.e., cancer, acquired immunodeficiency syndrome). The etiology of cachexia is multifactorial and the underlying pathophysiological mechanisms are essentially the following: anorexia and malnourishment; immune overactivity and systemic inflammation; and endocrine disorders (anabolic/catabolic imbalance and resistance to growth hormone). In this paper, we review the main pathophysiological mechanisms underlying CHF cachexia, focusing also on the broad spectrum of actions of ghrelin and ghrelin agonists, and their possible use in combination with physical exercise to contrast CHF cachexia.