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Circulating lipids or cytokines are associated with prognosis in metastatic castration-resistant prostate cancer (mCRPC). This study aimed to understand the interactions between lipid metabolism and immune response in mCRPC by investigating the relationship between the plasma lipidome and cytokines. Plasma samples from two independent cohorts of men with mCRPC (n = 146, 139) having life-prolonging treatments were subjected to lipidomic and cytokine profiling (290, 763 lipids; 40 cytokines). Higher baseline levels of sphingolipids, including ceramides, were consistently associated with shorter overall survival in both cohorts, whereas the associations of cytokines with overall survival were inconsistent. Increasing levels of IL6, IL8, CXCL16, MPIF1, and YKL40 correlated with increasing levels of ceramide in both cohorts. Men with a poor prognostic 3-lipid signature at baseline had a shorter time to radiographic progression (poorer treatment response) if their lipid profile at progression was similar to that at baseline, or their cytokine profile at progression differed to that at baseline. In conclusion, baseline levels of circulating lipids were more consistent as prognostic biomarkers than cytokines. The correlation between circulating ceramides and cytokines suggests the regulation of immune responses by ceramides. The association of treatment response with the change in lipid profiles warrants further research into metabolic interventions.