In Italy, the management of metastatic non-small cell lung cancer and melanoma leads to significant healthcare challenges, necessitating cost-effective treatment strategies and offering valuable insights for healthcare policymakers and stakeholders. This study was designed to assess the costs, quality-adjusted life-years (QALYs) and disability-adjusted life-years (DALYs) associated with the health and economic outcomes of (1) pembrolizumab-combined chemotherapy administered as a first-line treatment for metastatic non-squamous and squamous non-small cell lung cancer (NSCLC) where the tumour presents with a programmed death-ligand 1 expression level <50% and of (2) adjuvant pembrolizumab treatment for stage III melanoma. Three cost-effectiveness models developed by MSD were investigated for each treatment indication. A unique model was built to assess the overall effect of pembrolizumab versus chemotherapy or watchful waiting in patients with lung cancer or melanoma, respectively. Theoretical cohorts of patients with metastatic squamous and non-squamous NSCLC were followed over time using a partitioned survival model with weekly cycles. A weekly cycle Markov model was employed for melanoma. The analysis was conducted from the Italian National Health Service perspective, considering a time horizon of 40 years (lifetime). A single closed cohort of treatable patients was followed over time for each indication (4000, 7000 and 900 for NSCLC squamous, non-squamous and melanoma, respectively). The costs evaluated included those for adverse drug events, non-drug disease management, subsequent treatment and terminal care. Drug acquisition and administration costs were excluded. For each treatment indication assessed, pembrolizumab produced downstream direct cost offsets (- €122,498,568, -€133,369,076 and -€32,993,242 for NSCLC squamous, non-squamous and melanoma indications, respectively), increased quality of life (+2088, +5317 and +2307 QALYs for NSCLC squamous, non-squamous and melanoma indications, respectively) and reduced disability (-2658, -7202 and -3029 DALYs for NSCLC squamous, non-squamous and melanoma indications, respectively). Across indications, the total cost offsets of pembrolizumab were -€288,860,885, with 9712 QALYs gained and 12,889 DALYs avoided. The analysis demonstrated that, compared with chemotherapy, pembrolizumab is more cost effective in Italy as a first-line treatment in patients with metastatic squamous or non-squamous NSCLC and, if compared with watchful waiting, as adjuvant treatment in patients with stage III melanoma. The present analysis suggested that pembrolizumab use could lead to important health benefits for patients while offsetting a portion of cancer care costs.