Background Cancer cachexia is a multifactorial syndrome characterized by weight loss leading to immune dysfunction that is commonly observed in patients with advanced non-small cell lung cancer (NSCLC). We examined the impact of cachexia on the prognosis of patients with advanced NSCLC receiving pembrolizumab and evaluated whether the pathogenesis of cancer cachexia affects the clinical outcome. Patients and methods Consecutive patients with advanced NSCLC treated with pembrolizumab were retrospectively enrolled in the study. Serum levels of pro-inflammatory cytokines and appetite-related hormones, which are related to the pathogenesis of cancer cachexia, were analyzed. Cancer cachexia was defined as (1) a body weight loss > 5% over the past 6 months, or (2) a body weight loss > 2% in patients with a body mass index < 20 kg/m 2 . Results A total of 133 patients were enrolled. Patients with cachexia accounted for 35.3%. No significant difference in the objective response rate was seen between the cachexia and non-cachexia group (29.8% vs. 34.9%, P  = 0.550), but the median progression-free survival (PFS) and overall survival (OS) periods were significantly shorter in the cachexia group than in the non-cachexia group (PFS: 4.2 months vs. 7.1 months, P  = 0.04, and OS: 10.0 months vs. 26.6 months, P  = 0.03). The serum TNF-alpha, IL-1 alpha, IL-8, IL-10, and leptin levels were significantly associated with the presence of cachexia, but not with the PFS or OS. Conclusion The presence of cachexia was significantly associated with poor prognosis in advanced NSCLC patients receiving pembrolizumab, not with the response to pembrolizumab.