Malignant pleural mesothelioma (MPM) is a rare neoplasm whose early diagnosis is challenging and systemic treatments are generally administered as first line in the advanced disease stage. The initial clinical response may represent a useful parameter in terms of identifying patients with a better long-term outcome. In this report, the initial therapeutical response in 46 patients affected with advanced/unresectable pleural mesothelioma was investigated. The initial therapeutic response was assessed by CT scan and clinical examination after 2–3 treatment cycles. Our preliminary evaluation shows that the group of patients treated with regimens including antiangiogenetics and/or immunotherapy had a significantly better initial response as compared to patients only treated with standard chemotherapy, exhibiting a disease control rate (DCR) of 100% (95% IC, 79.40–100%) and 80.0% (95% IC, 61.40–92.30%), respectively. Furthermore, the therapeutic response was correlated with the disease stage, blood leukocytes and neutrophils, high albumin serum levels, and basal body mass index (BMI). Specifically, the patients with disease stage III showed a DCR of 95.7% (95% IC, 78.1–99.9%), whereas for disease stage IV the DCR decreased to 66.7% (95% IC, 34.9–9.1%). Moreover, a better initial response was observed in patients with a higher BMI, who reached a DCR of 96.10% (95% IC, 80.36–99.90%). Furthermore, in order to evaluate in the predictive power of the collected features a multivariate way, we report the preliminary results of a machine learning model for predicting the initial therapeutic response. We trained a state-of-the-art algorithm combined to a sequential forward feature selection procedure. The model reached a median AUC value, accuracy, sensitivity, and specificity of 77.0%, 75%, 74.8%, and 83.3%, respectively. The features with greater informational power were gender, histotype, BMI, smoking habits, packs/year, and disease stage. Our preliminary data support the possible favorable correlation between innovative treatments and therapeutic response in patients with unresectable/advanced pleural mesothelioma. The small sample size does not allow concrete conclusions to be drawn; nevertheless, this work is the basis of an ongoing study that will also involve radiomics in a larger dataset.