This pilot study investigates the relationship between endogenous cortisol and subjective distress and immunotherapy response in patients with advanced melanoma. Patients were asked to donate hair and complete questionnaires. This data was related to immunotherapy response, 3 and 6 months after start. Results from 21 patients were analyzed and showed that there was a significant relationship between depressive symptoms before start of immunotherapy and response 3 and 6 months after start of immunotherapy. Also, a higher baseline level of glucocorticoids was found to be significantly associated with a higher response rate 6 months after start of immunotherapy. The present pilot study warrants further investigation into the relationship between stress and the effectiveness of immunotherapy in patients with advanced melanoma.