Literature suggests that high body mass index can be correlated with better response to immune checkpoint inhibitors. On the other hand, sarcopenia seems to be a negative predictive marker. The present analysis is a retrospective, multicenter trial that included patients with metastatic melanoma, non-small cell lung cancer (NSCLC), and renal cell carcinoma treated with nivolumab between 2018 and 2020. Patients were stratified by creatinine levels both at treatment initiation and at first follow-up (at three months) and by BMI for the same intervals, as recorded in the patients’ charts. Creatinine was considered a surrogate marker for sarcopenia. IBM SPSS version 20 was used for statistical analysis. A total of 57 (n = 57) patients were included in the trial. Overall response rate (ORR) for the entire population was 38.59% (p = 0.02). Patients with BMI lower than 25 had an ORR of 28.5% (p = 0.003), whereas patients with BMI higher than 25 had an ORR of 42.3% (p = 0.002). Patients who gained weight during treatment had a lower probability of having progressive disease (OR = 0.4 [95% CI; 0.4–1.2]), as did patients with creatinine higher than 0.9 (OR = 0.39 [95% CI: 0.13–1.14]). No superiority was found in progression-free survival (PFS) when patients were dichotomized for BMI = 25 or BMI = 18.5. Mean PFS in the BMI under 18.5 group was 10.2 months [95% CI: 5.8–23.1], versus 11.2 for BMI over 18.5 [95% CI: 5.3–25.3], p < 0.03. Mean PFS for the BMI under 25 was 11.2 months [95% CI: 7.2–20.1], vs. 13.3 months [95% CI: 6.4–22] for the BMI over 25, p < 0.001. There were also differences in PFS in the patients with baseline creatinine over 0.9 when compared with under 0.9 values. Mean PFS in the first group was 19.78 months [95% CI: 16.23–22.9] vs. 16.1 [95% CI: 12.2–20.3], p < 0.001. Patients treated with nivolumab who have weight gain during treatment have a better PFS than the ones who do not. Creatinine levels of over 0.9 at treatment initiation also have positive predictive value.