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Pembrolizumab, either as a type of monotherapy or in combination with cytotoxic anticancer agents, is effective in the treatment of advanced non-small cell lung cancer (NSCLC). However, the development of cancer cachexia may adversely affect anticancer drug therapy. The present study investigated the effect of cancer cachexia on clinical outcomes in patients with advanced NSCLC who received first-line pembrolizumab. The data of patients with advanced NSCLC receiving first-line monotherapy or combination therapy with pembrolizumab were retrospectively analyzed. The primary endpoint was time to treatment failure (TTF), and the secondary endpoints were overall survival (OS) and incidence of adverse events (AEs). Clinical outcome was compared between patients with and without cancer cachexia. A total of 53 patients were analyzed. Among all patients, median TTF and OS were significantly shorter in patients with cancer cachexia than in those without [TTF: 5.8 vs. 10 months; hazard ratio (HR): 2.13; 95% confidence interval (CI): 1.07-4.24; P=0.016; OS: 12.1 months vs. not reached; HR: 5.85; 95% CI: 2.0-17.1; P=0.001]. In addition, TTF in the pembrolizumab monotherapy group was significantly shorter in patients with cancer cachexia than in those without, but no significant difference was detected in patients receiving pembrolizumab combination therapy. The incidence of AEs did not significantly differ between patients with and without cancer cachexia, except with regard to hypothyroidism. In conclusion, although cancer cachexia is prognostic of a poor outcome in patients with advanced NSCLC who receive first-line pembrolizumab, cancer cachexia might not affect therapeutic efficacy in combination therapy with pembrolizumab and cytotoxic anticancer agents.