Background: Pembrolizumab improves the survival of patients with advanced melanoma. A comprehensive analysis of baseline variables that predict the benefit of pembrolizumab monotherapy has not been conducted. Methods: Survival data of patients with advanced melanoma who were treated with pembrolizumab in a single university hospital were collected. A multivariate Cox regression analysis was performed to correlate baseline clinical, laboratory, and radiologic characteristics and NanoString IO360 gene expression profiling (GEP) with survival. Results: 183 patients were included (stage IV 85.2%, WHO performance status ≥1 31.1%; pembrolizumab first-line 25.7%), of whom 112 underwent baseline ¹⁸F-FDG-PET/CT imaging, 58 had circulating tumor DNA (ctDNA) assessments, and GEP was available in 27 patients. Active brain metastases, a higher number of metastatic sites, lower albumin and absolute lymphocyte count (ALC), higher C-reactive protein (CRP) and neutrophil-to-lymphocyte ratio, higher total metabolic tumor volume (TMTV), and higher ctDNA levels were associated with worse survival. Elevated lactate dehydrogenase (LDH) ≥ 2ULN (upper limit of normal), CRP ≥ 10ULN, or ALC < 750/mm³ delineate a subpopulation where treatment with pembrolizumab is futile. A TMTV ≥ 80 mL encompassed 17/21 patients with LDH ≥ 2ULN, CRP ≥ 10ULN, or ALC < 750/mm³. No significant associations were observed between baseline GEP scores and survival. Conclusion: Multiple baseline variables correlate with survival on pembrolizumab. TMTV is a more comprehensive baseline biomarker than CRP, LDH, or ALC in predicting the futility of pembrolizumab.