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Melanoma is the most aggressive skin malignancy with high morbidity. Anti-programmed cell death protein 1 (PD-1) monotherapy has been applied in metastatic melanoma. However, still most of the patients do not respond to anti-PD-1 and the availability of the present approved biomarkers therefore is limited. Here we combined the transcriptomic and clinical data of 163 advanced melanoma patients receiving anti-PD-1 from NIH Melanoma Genome Sequencing Project (phs000452, 122 patients) as the training and internal validation cohort, and Melanoma Institute Australia cohort (PRJEB23709, 41 patients) as the external validation cohort, respectively. Circular RNAs (circRNAs) are an evolutionarily conserved novel class of noncoding endogenous RNAs (ncRNAs) found in the eukaryotic transcriptome and were used based on RNAseq data for our analyses. 74,243 circular RNAs (circRNAs) were identified with NCLscan and CIRCexplorer2. Thereof, 70 circRNAs significantly associated with progression-free survival and overall survival. Further, a prognostic circRNAs signature consisting of HSA_CIRCpedia_1497, HSA_CIRCpedia_12559, HSA_CIRCpedia_43640, HSA_CIRCpedia_43070, and HSA_CIRCpedia_21660 could be determined with LASSO regression. This signature was a prognostic factor of overall survival and progression-free survival among the analyzed advanced melanoma patients. The concordance indexes (C-index of OStraining: 0.61, C-index of PFStraining: 0.68) also confirmed its credibility and accuracy. First enrichment analysis indicated that immune response and pathways related to tumor immune microenvironment were enriched. In conclusion, we succeeded to construct and validate novel prognostic circRNAs signature for advanced melanoma patients treated with anti-PD-1 immunotherapy.