(1) Background: Cancer is one of the leading causes of mortality worldwide. Radiotherapy and chemotherapy attempt to kill tumor cells by different mechanisms mediated by an intracellular increase of free radicals. However, free radicals can also increase in healthy cells and lead to oxidative stress, resulting in further damage to healthy tissues. Approaches to prevent or treat many of these side effects are limited. Ozone therapy can induce a controlled oxidative stress able to stimulate an adaptive antioxidant response in healthy tissue. This review describes the studies using ozone therapy to prevent and/or treat chemotherapy-induced toxicity, and how its effect is linked to a modification of free radicals and antioxidants. (2) Methods: This review encompasses a total of 13 peer-reviewed original articles (most of them with assessment of oxidative stress parameters) and some related works. It is mainly focused on four drugs: Cisplatin, Methotrexate, Doxorubicin, and Bleomycin. (3) Results: In experimental models and the few existing clinical studies, modulation of free radicals and antioxidants by ozone therapy was associated with decreased chemotherapy-induced toxicity. (4) Conclusions: The potential role of ozone therapy in the management of chemotherapy-induced toxicity merits further research. Randomized controlled trials are ongoing.