The majority of metastatic melanoma patients initially do not respond or acquire resistance to anti-programmed cell death 1 (PD-1) immunotherapy. Liquid biopsy biomarkers might provide useful early response information and allow for personalized treatment decisions. We prospectively assessed circulating cell-free SHOX2 DNA methylation (SHOX2 ccfDNAm) levels and their dynamic changes in blood plasma of melanoma patients by quantitative methylation-specific polymerase chain reaction. Patients were treated with either palliative (n = 42) or adjuvant (n = 55) anti-PD-1 immunotherapy. Moreover, we included n = 126 control patients without evidence of malignant disease. We analyzed SHOX2 ccfDNAm status prior to and 4 weeks after palliative treatment initiation with regard to outcome [objective response, progression-free survival (PFS), and overall survival (OS)]. In the adjuvant setting, we associated longitudinal SHOX2 ccfDNAm status with disease recurrence. Sensitivity was 60% with 25/42 melanoma patients showing increased SHOX2 ccfDNAm levels, whereas specificity was 98% with 123/126 (P < 0.001) control patients having SHOX2 ccfDNAm levels below cut-off. Pretreatment SHOX2 ccfDNAm status did not correlate with outcome; however, SHOX2 ccfDNAm negativity 4 weeks after palliative treatment initiation was strongly associated with improved survival [PFS: hazard ratio (HR) = 0.25, P = 0.002; OS: HR = 0.12, P = 0.007]. Pretreatment positive patients who reached SHOX2 ccfDNAm clearance after 4 weeks of immunotherapy showed an exceptionally beneficial outcome. SHOX2 ccfDNAm testing allowed for an early detection of distant metastases in adjuvant-treated melanoma patients. Our study suggests SHOX2 ccfDNAm to be an early predictor of outcome in anti-PD-1 treated melanoma patients. SHOX2 ccfDNAm testing may aid individualized treatment decision-making.