The real-life application of immune checkpoint inhibitors (ICIs) may yield different outcomes compared to the benefit presented in clinical trials. For this reason, there is a need to define the group of patients that may benefit from treatment. We retrospectively investigated 578 metastatic melanoma patients treated with ICIs at the Istituto Nazionale Tumori IRCCS Fondazione “G. Pascale” of Napoli, Italy (INT-NA). To compare patients’ clinical variables (i.e., age, lactate dehydrogenase (LDH), neutrophil–lymphocyte ratio (NLR), eosinophil, BRAF status, previous treatment) and their predictive and prognostic power in a comprehensive, non-hierarchical manner, a clinical categorization algorithm (CLICAL) was defined and validated by the application of a machine learning algorithm—survival random forest (SRF-CLICAL). The comprehensive analysis of the clinical parameters by log risk-based algorithms resulted in predictive signatures that could identify groups of patients with great benefit or not, regardless of the ICI received. From a real-life retrospective analysis of metastatic melanoma patients, we generated and validated an algorithm based on machine learning that could assist with the clinical decision of whether or not to apply ICI therapy by defining five signatures of predictability with 95% accuracy.