This randomized phase II trial studies how well physical activity and dexamethasone work in reducing cancer-related fatigue in patients with cancer that has spread to other places in the body and usually cannot be cured or controlled with treatment (advanced). Dexamethasone is approved for the treatment of tiredness, pain, and nausea. Physical activity may help improve cancer-related fatigue by improvement in symptoms, distress, and overall well-being. It is not yet known whether high dose or low dose dexamethasone combined with physical activity works better in reducing fatigue in patients with advanced cancer.