Immune checkpoint inhibition represents an important therapeutic option for advanced melanoma patients. Results from clinical studies have shown that treatment with the PD-1 inhibitors Pembrolizumab and Nivolumab provides improved response and survival rates. Moreover, combining Nivolumab with the CTLA-4 inhibitor Ipilimumab is superior to the respective monotherapies. However, use of these immunotherapies is frequently associated with, sometimes life-threatening, immune-related adverse events. Thus, more evidence-based studies are required to characterize the underlying mechanisms, towards more effective clinical management and treatment monitoring. Our study examines two sets of public adverse event data coming from FAERS and VigiBase, each with more than two thousand melanoma patients treated with Pembrolizumab. Standard disproportionality metrics are utilized to characterize the safety of Pembrolizumab and its reaction profile is compared to those of the widely used Ipilimumab and Nivolumab based on melanoma cases that report only one of them. Our results confirm known toxicological considerations for their related and distinct side-effect profiles and highlight specific immune-related adverse reactions. Our retrospective computational analysis includes more patients than examined in other studies and relies on evidence coming from public pharmacovigilance data that contain safety reports from clinical and controlled studies as well as reports of suspected adverse events coming from real-world post-marketing setting. Despite these informative insights, more prospective studies are necessary to fully characterize the efficacy of these agents.