Cancer cachexia affects quality of life, response to chemotherapy, and survival in many advanced cancer patients. The aim of this study was to evaluate the prognostic value of pretreatment cachexia index (CXI) in patients with advanced hepatocellular carcinoma (HCC) treated with systematic chemotherapy. Patients with advanced HCC treated with lenvatinib therapy between October 2018 and October 2020 were retrospectively studied. The CXI was calculated as (L3 skeletal muscle index) × (serum albumin)/(neutrophil-to-lymphocyte ratio). The association with treatment response and early adverse events within the first two months of lenvatinib therapy was investigated. Overall survival (OS) and progression-free survival (PFS) were estimated using the Kaplan-Meier method with log-rank test. Multivariable Cox regression was used to identify the predictors of survival. A total of 116 patients (median age: 60, male: 84.5% ) with calculated CXI. They divided into two groups: high CXI (≥ 53, n = 82) and low CXI (< 53, n = 34). Patients with low CXI had a significantly lower disease control rate (61.8% vs. 89.0%, p = 0.001) and a shorter median OS (8.0 95% CI 6.2-9.8 vs. 12.3 95% CI 10.1-14.4 months, p = 0.002) than those with high CXI. In multivariable analysis, low CXI was independently associated with shorter OS (HR: 2.07, 95% CI: 1.17-3.65, p = 0.01) and PFS (HR: 1.84, 95% CI: 1.09-3.09, p = 0.02). Of note, during the first two months of lenvatinib therapy, anorexia (41.2% vs. 22.0%, p = 0.04) developed more frequently among patients with low CXI than those with high CXI. The CXI may be a clinically useful index for predicting poor treatment response and prognosis in patients with advanced HCC undergoing lenvatinib treatment.