The prognosis for Cutaneous Melanoma (CM), a skin malignant tumor that is extremely aggressive, is not good. A recently identified type of controlled cell death that is intimately related to immunotherapy and the development of cancer is called cuproptosis. Using The Cancer Genome Atlas (TCGA) and the Gene Expression Omnibus (GEO) database, we developed and validated a DNA-methylation located in cuproptosis death-related gene prognostic signature (CRG-located DNA-methylation prognostic signature) to predict CM’s prognosis. Kaplan–Meier analysis of our TCGA and GEO cohorts showed that high-risk patients had a shorter overall survival. The area under the curve (AUC) for the TCGA cohort was 0.742, while for the GEO cohort it was 0.733, according to the receiver operating characteristic (ROC) analysis. Furthermore, this signature was discovered as an independent prognostic indicator over CM patients based on Cox-regression analysis. Immunogenomic profiling indicated that majority immune-checkpoints got an opposite relationship with the signature, and patients in the group at low risk got higher immunophenoscore. Several immune pathways were enriched, according to functional enrichment analysis. In conclusion, a prognostic methylation signature for CM patients was established and confirmed. Because of its close relationship to the immune landscape, this signature may help clinicians make more accurate and individualized choices regarding therapy.