This phase II/III trial studies how well physical activity with or without dexamethasone works in reducing cancer-related fatigue in patients with cancer that has spread to other places in the body or has come back. Dexamethasone may decrease the body's immune response. Combining physical activity with dexamethasone may help to treat fatigue in patients with cancer.

PRIMARY OBJECTIVES:

I. To test the hypotheses that patients with cancer-related fatigue (CRF) will be satisfied with the physical activity + dexamethasone (PA+ DEX) intervention, have adequate rates of adherence, and that PA+ DEX will be feasible for patients with CRF.

Ia. To determine if the combination of PA+ DEX is a feasible intervention for advanced cancer patients, as evidenced by an adherence rate to daily use of PA+ DEX greater than or equal to 75%.

Ib. To determine if patients are satisfied with PA+ DEX, based on more than 75% of patients indicating their satisfaction with PA+ DEX with a rating of "somewhat satisfied" or "completely satisfied."

SECONDARY OBJECTIVES:

I. To test the hypothesis that PA+ DEX (PA for 4 weeks plus dexamethasone 4 mg twice a day for 1 week) will be more efficacious than PA+ placebo (PA for 4 weeks plus placebo for 1 week) on CRF as measured by the Functional Assessment of Chronic Illness Therapy - Fatigue (FACIT-F).

Ia. To determine if PA+ DEX results in robust reduction in FACIT-F subscale scores (defined as >= 10 point improvement in 60% of patients).

II. To explore the effects of PA+ DEX on fatigue-related symptoms and function. IIa. To determine if PA+ DEX improves CRF by targeting the various associated factors of CRF.

OUTLINE: Patients are randomized to 1 of 2 arms.

ARM I: Patients receive dexamethasone orally (PO) twice daily (BID) for 7 days. Patients also complete resistance training and moderate intensity walking at home for minimum 5 days per week over 4 weeks.

ARM II: Patients receive placebo PO BID for 7 days. Patients also complete resistance training and moderate intensity walking as in Arm I.

After completion of study, patients are followed up at 29 days and 1 month.

Inclusion Criteria:

• Diagnosis of locally advanced cancer (defined as metastatic or recurrent cancer or completed 2 lines of therapy) with fatigue >= 4/10 (0-10 scale) on the Edmonton Symptom Assessment Scale (ESAS)
• Presence of fatigue for at least 2 weeks
• Normal cognition defined as Memorial Delirium Assessment Scale (MDAS) of =< 13/30 completed in person or via video conference
• Hemoglobin > 8 g/L within 2 weeks of enrollment in the study
• Zubrod performance status =< 2
• Life expectancy of >= 4 months
• Able to read, write, and speak English

Exclusion Criteria:

• Patients with a history of hypersensitivity to dexamethasone or having any contraindication to physical activity as determined by the treating physician
• Reports of a fall in the past 30 days
• Uncontrolled diabetes mellitus as defined by a random blood sugar of > 200 mg/dl not being monitored by their primary care physician
• Sepsis and/or acute, chronic, or ongoing infections that are currently being treated with systemic antimicrobials
• Current, active peptic ulcer disease
• Neutropenia as defined by an absolute neutrophil count (ANC) of < 1000 cells/mm
• Regular participation in moderate- or vigorous-intensity physical activity for >= 30 minutes at least 5 times a week and strength training for >= 2 days
• Symptomatic cardiac disease (New York Heart Association functional class III or IV) or coronary artery disease
• Patients currently on immunotherapy
• Inability to comply with study protocol procedures