Background: Immunotherapy has revolutionized treatment for advanced melanoma and non-small cell lung cancer (NSCLC), dramatically improving survival. Yet, given that immunotherapy responses can vary widely, this new paradigm introduces challenges in prognostic communication between patients and oncology clinicians. In this study, we sought to explore how patients and caregivers learned about immunotherapy and their understanding of what to expect. Methods: We conducted a qualitative study including adults with advanced melanoma or metastatic NSCLC who were receiving oncology care at an academic medical center. We included patients with stage III or IV melanoma or stage IV NSCLC within 12 weeks of initiating immunotherapy or 12 months of discontinuing immunotherapy, as well as caregivers. Clinical and demographic data were collected in patient surveys and extracted from the electronic health record. We conducted in-depth interviews with patients and caregivers using a semi-structured interview guide with questions about how patients learned about immunotherapy from their clinicians and experienced the treatment. We used an adapted framework approach to analyze interview transcripts and synthesized concepts into themes. Results: 42 patients and 9 caregivers participated in this study. Patients’ median age was 67, and most were male (62%), white (86%), married (55%), and had melanoma (62%). We identified four themes: (1) Patients’ high expectations of immunotherapy were set by the oncology team (“When I first found out I had melanoma, I thought it was a death sentence. I was very excited to find out that there were actually options and the potential for a cure.”); (2) Patients who did not have long-term responses experienced overwhelming disappointment (“I went into the immunotherapy knowing this was going to save my life. And it's not.”); (3) Prognostic uncertainty particularly affected patients whose treatment was held or discontinued due to toxicity or progressive disease (“I put everything on hold because there’s no point in starting down any path because it’s too uncertain.”); (4) Some patients and caregivers had conflicting preferences for receiving information (“She [patient] and I [caregiver] process information totally differently. I try to be really respectful of what she needs, but I want more information.”). Patients and caregivers provided recommendations for educational resources and highlighted their unmet psychosocial needs. Conclusions: Patients and caregivers have optimistic expectations when initiating immunotherapy, which results in heightened disappointment among the subset with progression or toxicity. We identified that clinicians should elicit the information preferences of both patients and caregivers as these may be disparate. Our results point to the need to optimize prognostic communication and support for patients initiating immunotherapy.