Background Few real-world data are available in patients with advanced metastatic non-small cell lung cancer (NSCLC) treated with first-line immunotherapy, particularly in those with brain metastases at treatment initiation. Methods This was a national, retrospective, multicenter study that consecutively included all patients with PD-L1-positive (tumor proportion score ≥ 50%) advanced NSCLC who initiated first-line treatment with pembrolizumab as a single agent between May 2017 (date of availability of pembrolizumab in this indication in France) to November 22, 2019 (approval of the pembrolizumab-chemotherapy combination). Data were collected from medical records with local response assessment. Results The cohort included 845 patients and 176 (20.8%) had brain metastases at diagnosis. There were no significant differences in outcomes for patients with and without brain metastases: 9.2 (95% CI 5.6–15) and 8 (95% CI 6.7–9.2, p  = 0.3) months for median progression-free survival (PFS) and, 29.5 (95% CI 17.2–NA) and 22 (95% CI 17.8–27.1, p  = 0.3) months for median overall survival (OS), respectively. Overall response rates were 47% and 45% in patients with and without cerebral metastases. In multivariate analysis, performance status 2–4 vs. 0–1 and neutrophil-to-lymphocyte ratio ≥ 4 vs. < 4 were the main independent negative factors for OS; brain metastasis was not an independent factor for OS. Conclusion In this large multicenter cohort, nearly 20% of patients initiating pembrolizumab therapy for advanced NSCLC had cerebral metastases. There was no significant difference in response rates, PFS and OS between patients with and without brain metastases.