Oncology patients often experience the classic signs of malnutrition—weight loss as well as fat and muscle wasting, which have been associated with poor tolerance to treatment and increased morbidity and mortality. Nutrition status may be an important factor in determining tolerance to treatment and outcomes associated with it. Thus, identification of those with preexisting malnutrition or who are at risk for developing malnutrition is crucial not only at time of cancer diagnosis but also throughout the treatment course so that nutrition interventions may be implemented to prevent development or worsening of malnutrition in this high-risk population. These patients often have extremely complicated hospital courses due to the aggressive nature of the disease and treatment, leading to intensive care unit admission and periods of critical illness. Critical illness is associated with catabolism, extreme stress on the body, and a state of systemic inflammation. During critical illness, it is important to provide adequate nutrition to prevent further break down of lean muscle mass and oxidative cellular injury and to regulate favorable immune responses. The purpose of this review is to discuss the importance of nutrition screening and assessment for the critically ill patient with cancer; to appropriately identify those at risk for, or who have developed, malnutrition; and to provide appropriate interventions to optimize nutrition status. This review also discusses the complications and difficulties associated with feeding this patient population and offers nutrition support recommendations.