Malignant pleural mesothelioma (MPM) is a poor-prognosis disease. Owing to the recent availability of new therapeutic options, there is a need to better assess prognosis. The initial clinical response could represent a useful parameter. We proposed a transfer learning approach to predict an initial treatment response starting from baseline CT scans of patients with advanced/unresectable MPM undergoing first-line systemic therapy. The therapeutic response has been assessed according to the mRECIST criteria by CT scan at baseline and after two to three treatment cycles. We used three slices of baseline CT scan as input to the pre-trained convolutional neural network as a radiomic feature extractor. We identified a feature subset through a double feature selection procedure to train a binary SVM classifier to discriminate responders (partial response) from non-responders (stable or disease progression). The performance of the prediction classifiers was evaluated with an 80:20 hold-out validation scheme. We have evaluated how the developed model was robust to variations in the slices selected by the radiologist. In our dataset, 25 patients showed an initial partial response, whereas 13 patients showed progressive or stable disease. On the independent test, the proposed model achieved a median AUC and accuracy of 86.67% and 87.50%, respectively. The proposed model has shown high performance even by varying the reference slices. Novel tools could help to improve the prognostic assessment of patients with MPM and to better identify subgroups of patients with different therapeutic responsiveness.