(1) Background: Immune checkpoint inhibitors have improved the prognosis of patients with advanced melanoma. Published data suggested that the objective response rates appear to be superior in patients who developed immune-related adverse events (irAEs). (2) The primary aim of this cohort study was to evaluate the association between irAEs and disease control rate in patients with stage IV melanoma treated with first-line PD-1-based immunotherapy. (3) Among 319 patients, 53% experienced at least one irAE. A higher percentage of patients with irAEs had disease control compared to those without irAEs (69.8% vs. 49.3%). In multivariate analysis, development of grade 3 and 4 irAEs was significantly associated with a protective effect for the outcome primary resistance (OR: 0.40 95% CI 0.23–0.70, p = 0.001). The presence of any grade irAEs was significantly associated with longer OS (irAEs grade 1–2 HRadj: 0.61 95% CI: 0.4–0.93, p = 0.02, irAEs grade 3–4 HRadj: 0.55 95% CI 0.31–0.99, p = 0.04), but not with PFS (irAEs grade 1–2 HRadj: 1.21 95% CI: 0.91–1.79, p = 0.16, irAEs grade 3–4 HRadj: 1.14 95% CI 0.83–2.02, p = 0.24). (4) The presence of irAEs with laboratorial expression is positively associated with response and OS, suggesting that irAEs might be a predictive factor in this setting.