Cancer cachexia is characterized by inflammation, loss of skeletal muscle and adipose tissue mass, and functional impairment. Oxidative stress and inflammation are believed to regulate pathways controlling skeletal muscle wasting. The aim of this study was to determine the effects of aerobic interval training and the purported antioxidant treatment, selenium nanoparticle supplementation, on expression of IL-15 and inflammatory cytokines in 4T1 breast cancer-bearing mice with cachexia. Selenium nanoparticle supplementation accelerated cachexia symptoms in tumor-bearing mice, while exercise training prevented muscle wasting in tumor-bearing mice. Also, aerobic interval training enhanced the anti-inflammatory indices IL-10/TNF-α ratio and IL-15 expression in skeletal muscle in tumor-bearing mice. However, combining exercise training and antioxidant supplementation prevented cachexia and muscle wasting and additionally decreased tumor volume in 4T1 breast cancer mice. These finding suggested that combining exercise training and antioxidant supplementation could be a strategy for managing tumor volume and preventing cachexia in breast cancer.