Physical Activity With or Without Dexamethasone in Reducing Cancer-Related Fatigue in Patients With Locally Advanced, Metastatic, or Recurrent Cancer

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