Hodgkin Lymphoma (HL) is characterized by an inflammatory background in which the reactive myeloid cells may exert an immune-suppressive effect related to the progression of the disease. Immunoglobulin M is the first antibody isotype produced during an immune response, which also plays an immunoregulatory role. Therefore, we investigated if, as a surrogate of defective B cell function, it could have any clinical impact on prognosis. In this retrospective, observational, single-center study, we evaluated 212 newly diagnosed HL patients, including 132 advanced-stage. A 50 mg/dL level of IgM at baseline resulted in 84.1% sensitivity and 45.5% specificity for predicting a complete response in the whole cohort (area under curve (AUC) = 0.62, = 0.013). In multivariate analysis, baseline IgM ≤ 50 mg/dL and the presence of a large nodal mass (<7 cm) were independent variables able to predict the clinical outcome, while, after two cycles of treatment, IgM ≤ 50 mg/dL at baseline and PET-2 status were independent predictors of PFS. The amount of IgM at diagnosis is a valuable prognostic factor much earlier than PET-2, and it can also provide information for PET-2-negative patients. This can help to identify different HL classes at risk of treatment failure at baseline.