Introduction: Immune checkpoint inhibitors (ICIs) represent the standard therapy for metastatic melanoma. However, a few patients do not respond to ICIs and reliable predictive biomarkers are needed. Methods: This pilot study investigates the association between mRNA levels of programmed cell death-1 (PD-1) ligand 1 (PD-L1), interferon-gamma (IFN-γ), and transforming growth factor-β (TGF-β) in circulating extracellular vesicles (EVs) and survival in 30 patients with metastatic melanoma treated with first line anti-PD-1 antibodies. Blood samples were collected at baseline and RNA extracted from EVs; the RNA levels of PD-L1, IFN-γ, and TGF-β were analysed by digital droplet PCR (ddPCR). A biomarker-radiomic correlation analysis was performed in a subset of patients. Results: Patients with high TGF-β expression (cut-off fractional abundance [FA] >0.19) at baseline had longer median progression-free survival (8.4 vs. 1.8months; p = 0.006) and overall survival (17.9 vs. 2.63months; p = 0.0009). Moreover, radiomic analysis demonstrated that patients with high TGF-β expression at baseline had smaller lesions (2.41 ± 3.27mL vs. 42.79 ± 101.08mL, p < 0.001) and higher dissimilarity (12.01 ± 28.23 vs. 5.65 ± 8.4; p = 0.018). Discussion: These results provide evidence that high TGF-β expression in EVs is associated with a better response to immunotherapy. Further investigation on a larger patient population is needed to validate the predictive power of this potential biomarker of response to ICIs.