Purpose Studies suggest eicosapentaenoic acid (EPA), an omega-3 fatty acid, augments weight, appetite, and survival in cancer-associated wasting. This study determined whether an EPA supplement—administered alone or with megestrol acetate (MA)—was more effective than MA. Patients and Methods Four hundred twenty-one assessable patients with cancer-associated wasting were randomly assigned to an EPA supplement 1.09 g administered bid plus placebo; MA liquid suspension 600 mg/d plus an isocaloric, isonitrogenous supplement administered twice a day; or both. Eligible patients reported a 5-lb, 2-month weight loss and/or intake of less than 20 calories/kg/d. Results A smaller percentage taking the EPA supplement gained ≥ 10% of baseline weight compared with those taking MA: 6% v 18%, respectively (P = .004). Combination therapy resulted in weight gain of ≥ 10% in 11% of patients (P = .17 across all arms). The percentage of patients with appetite improvement (North Central Cancer Treatment Group Questionnaire) was not statistically different: 63%, 69%, and 66%, in EPA-, MA-, and combination-treated arms, respectively (P = .69). In contrast, 4-week Functional Assessment of Anorexia/Cachexia Therapy scores suggested MA-containing arms experienced superior appetite stimulation compared with the EPA arm, with scores of 40, 55, and 55 in EPA-, MA-, and combination-treated arms, respectively (P = .004). Survival was not significantly different among arms. Global quality of life was not significantly different among groups. With the exception of increased impotence in MA-treated patients, toxicity was comparable. Conclusion This EPA supplement, either alone or in combination with MA, does not improve weight or appetite better than MA alone.