A variety of pathophysiological mechanisms exist by which physical exercise, nutrition, and the microbiome can impact the development of cancer and the response of tumor cells to systemic anti-cancer therapy. Physical exercise positively impacts the different stages of oncological disease and may improve overall survival and quality of life, reduce treatment-associated toxicity, and improve response to immunotherapy. Nutrition impacts quality of life, and novel nutritional regimens and their role in cancer treatment and outcomes are under active investigation. Finally, the microbiome may act as a predictor of response and resistance to immunotherapy. This comprehensive review delves into the interplay between these elements and their impact on oncological outcomes, emphasizing their role in modulating the immune system and enhancing the response to immunotherapy.The data that support the findings of this study are openly available and referenced in the bibliography section.